unix

What exact problem did you face? Could you describe?

I'm following below steps.

1. Decide under which user you will run Zabbix agent.
   As running as 'root' is bad for security, let's run it under user 'zabbix'.
   Create account for user 'zabbix', set appropriate group membership.

2. Decide in which directory you want to install it.
For example, in /opt/zabbix_3.0.0.

Create directory, set permissions, e.g.

1. mkdir /opt/zabbix_3.0.0
2. chown zabbix:zabbix /opt/zabbix_3.0.0
3. chmod u=rwx,go= /opt/zabbix_3.0.0

3. Unpack tar file, e.g.

1. su - zabbix
   $ cd /opt/zabbix_3.0.0
   $ gunzip -c /path_to_archive/zabbix_agents_2.4.4.hpux11_31.ia64.tar.gz | tar xf -

Now you have
$ ls -lR
.:
total 12
drwxr-xr-x 2 zabbix zabbix 4096 apr 20 10:49 bin
drwxr-xr-x 3 zabbix zabbix 4096 apr 20 10:49 conf
drwxr-xr-x 2 zabbix zabbix 4096 apr 20 10:49 sbin

./bin:
total 740
rwxr-xr-x 1 zabbix zabbix 342728 mar 12 2015 zabbix_get <--- Zabbix command-line utility
rwxr-xr-x 1 zabbix zabbix 410276 mar 12 2015 zabbix_sender <--- Zabbix command-line utility

./conf:
total 16
rw-rr- 1 zabbix zabbix 2537 mar 12 2015 zabbix_agent.conf
drwxr-xr-x 2 zabbix zabbix 4096 apr 20 10:49 zabbix_agentd
rw-rr- 1 zabbix zabbix 7797 mar 12 2015 zabbix_agentd.conf <---- Edit this.

./conf/zabbix_agentd:
total 8
rw-rr- 1 zabbix zabbix 1359 mar 12 2015 userparameter_examples.conf
rw-rr- 1 zabbix zabbix 1517 mar 12 2015 userparameter_mysql.conf

./sbin:
total 1892
-rwxr-xr-x 1 zabbix zabbix 897452 mar 12 2015 zabbix_agent
rwxr-xr-x 1 zabbix zabbix 1035836 mar 12 2015 zabbix_agentd <--- Zabbix agent executable.

4. Edit agent configuration file /opt/zabbix_3.0.0/conf/zabbix_agentd.conf to suit your needs.
In particular, pay attention to PidFile, LogFile, Server, ListenPort, ServerActive, Hostname parameters.

5. Start agent, e.g.
$ /opt/zabbix_3.0.0/sbin/zabbix_agentd -c /opt/zabbix_3.0.0/conf/zabbix_agentd.conf

Now you get the idea, you can make your own .depot package.

As andris suggest on this https://www.zabbix.com/forum/zabbix-help/45721-agent-for-hp-ux-11-31

But I don't know how to proceed create .depot package.

Don't see any zabbix problem here.
Probably creating depot package is not related to zabbix agent problem itself, this is OS specific task. Please check some resources in the web for HP-UX OS for doing that.

Can you let me know the step to complie manually in HP-UX server.

Do I need to create a user and run?

Why you need to compile manually, probably binary works for you well.
Compilation process for all Unixlike systems the same and described here https://www.zabbix.com/documentation/4.0/manual/installation/install

@andrei Can you please let me know the exact step to install.

Please help me on this.

We provide only binaries so init scripts should be written yourself for starting as service.
Please use google for that for example https://community.hpe.com/t5/System-Administration/how-to-add-the-startup-script-in-hp-ux-11-11/td-p/5802077#.XGQMUFwzaHs
This one I close as won't fix.