If "the festival" is a place, for example a carnival or fair, it would be AT: I met him AT the festival. It was AT the festival that she lost her bag. I've never had more fun than I did AT the festival. If "the festival" is an event, for example a music/film festival, it would be DURING: I first met him DURING (or AT) the 2006 Film Festival. It was DURING (or AT) the 2004 Music festival that I first slept outside in the rain. Where were you DURING the festival? What are you going to do DURING the festival? You could be IN the festival but that would only refer to performers, contributors, organizers, etc of the festival: I performed IN (or DURING) the 2005 Music Festival. My film had its debut IN (or AT) the 2007 Film Festival. But normally we'd say, I worked AT the festival for 2months. Think about it: you wouldn't be ON the festival as that would mean you were on top of it, which is not really possible.