Login to your Zendesk admin portal and create an API token as shown below: 
 

Give the API Key a name and click Copy. 

Login to MSP Process and Click on Integrations -> PSA Integrations. Click the Add PSA button. 

Click on Zendesk

Give the integration a Name, put in the URL for your Zendesk site and the API key and click Submit. 

The next screen select your ticket defaults and click Submit.