You need to create the database table by running the protx_direct_sql.sql code that comes in the mod.

From the README.html file in the mod (step 6):

  1. Create the Database

    A SQL script, protx_direct_sql.sql, is provided with this contribution to create the database in which the module stores transaction information.
    • You can either use software like PHPMyAdmin to run the SQL script (Don't forget to check the name of the table. If you use a prefix for your table names you should make sure that you put this prefix in front of the table name)..
    • Or you can go to Tools > Install SQL Patches in the Zen Cart Admin and run the file through that.