I'm using Zonealarm as well, the ZA Internet Security Suite, v 9.3.037.000 but I haven't seen this yet. My own Windows 7 64 bit Ultimate is up to date with Windows Updates and I haven't had any new updates in the last week.
Which Windows are you using?
When you see that pop up you have the option of finding out more. Either worded "Smart Defense Advisor - More info", or "Alert Advisor - More info", depending which version of ZA you have. If you click that, you will be taken to Zonealarm's web site and they will attempt to find more about this particular event. It doesn't always find anything useful though.
Also, at the top of the pop up window are details of the event, and this might be useful if you could share that.
It's a strange one though because like you, I couldn't find anything for ""Hosted agent service is trying to access the trusted zone", and neither just for "Hosted agent service".
In Zonealarm's Control Center, (right click the icon in the Notification area where the clock is, and select to show the Control Center), goto Program Control then Programs, and scroll down to see if you have any entry for Hosted Agent.
ZA is doing it's job and preventing something on your system from entering the Trusted Zone without your knowledge, so you are protected. You could, if you wish, click the option to "Remember this setting" when you click Deny. You can always reverse that later.
I had a quick look through the ZA forums here; http://forums.zonealarm.com/index.php but didn't find anything relevant. It was just a cursory look though.
Recently started getting regular popups from ZoneAlarm..."Hosted agent service is trying to access the trusted zone".
Couldn't find anything on it. Thought it might have started after a Windows Update but not sure. Anyone heard of this?