The first time that ZAP finds a specific type of issue with a site it will show the name of the issue in a notification that appears in the bottom right hand corner of your browser.
Some alerts can apply to lots of pages on a site, so the HUD will only ever show you a notification the first time a specific alert is raised.
You can click on the alert notification to see more information about that alert, including the request and response associated with it. Alert notifications are only shown for a short period, but don't worry if you don't click on one in time, the next 2 pages of this tutorial will explain how you can access them at any time.