The sub-form's BeforeInsert event is one possibility, but that typically doesn't fire until you actually type something in the new record. It is possible that NO event will fire. It depends on what you meant by your question.
Clarify please: When you say you click "New" in the sub-form... is that a command button you have created or are you clicking the triangle-asterisk in the sub-form's navigation bar. If the latter, you might have no event until you start populating the new record. However, it is also possible that the sub-form's Activate event would fire when the sub-form gains focus. If the sub-form already had focus, maybe not.