My firewall security software tells me that that InstallShield's "Agent.exe is trying to access the Internet". Why does this happen?

Agent.exe is a part of the InstallShield Update Service. The InstallShield Update Service is a Web-based service that connects your software programs to their available updates. This requires it to use the Internet. Your software provider decides how often the agent will check for an update to your software. However, you may use the  Update Manager control panel applet to reset how often these connections take place (or stop them entirely).