If you have Remote Authentication (SSO) enabled on your account and you want to use mobile devices, you will need to set up a password from within your Zendesk profile to be able to access Zendesk for your mobile device.
If you're an agent within Zendesk you will need to ask either the owner or an admin on your account to set up a password for you. An admin on your Zendesk account will be able to locate your agent profile from under the "manage" tab > "people".
If you're an admin within your Zendesk account, you will be able to create a password for yourself and your agents via the following steps:
1) Login to Zendesk through your web portal
2) Go to "Manage" -> "People" and click on the name of the desired user.
3) Put your mouse over "Actions" at the top right and choose "Create/Change Password"
4) If you're changing it for someone else it will send them an email to set their password. If you're changing the password for yourself, it will ask you to enter a password for your user profile.
This new password will allow you/your agents to access your Zendesk account on mobile devices.