We study the problem of localizing audio-visual events that are both audible and visible in a video. Existing works focus on encoding and aligning audio and visual features at the segment level while neglecting informative correlation between segments of the two modalities and between multi-scale event proposals. We propose a novel MultiModulation Network (M2N) to learn the above correlation and leverage it as semantic guidance to modulate the related auditory, visual, and fused features. In particular, during feature encoding, we propose cross-modal normalization and intra-modal normalization. The former modulates the features of two modalities by establishing and exploiting the cross-modal relationship. The latter modulates the features of a single modality with the event-relevant semantic guidance of the same modality. In the fusion stage,we propose a multi-scale proposal modulating module and a multi-alignment segment modulating module to introduce multi-scale event proposals and enable dense matching between cross-modal segments. With the auditory, visual, and fused features modulated by the correlation information regarding audio-visual events, M2N performs accurate event localization. Extensive experiments conducted on the AVE dataset demonstrate that our proposed method outperforms the state of the art in both supervised event localization and cross-modality localization.