By default, the HUD is injected into all of the HTML pages proxied through the ZAP desktop.
You can turn it on and off easily using the
button on the ZAP toolbar.
It is not injected by default into pages proxied through ZAP when it is running in headless/daemon mode as that could break unit tests.
This behaviour can be changed via the HUD options.
This tutorial will take you through the HUD features and explain how you can use them.