More information on using the agent.conf can be found here
The agent.conf is valid on the server install only.
The agent.conf exists in /var/ossec/etc/shared. It should be readable by the ossec user.
-r-xr-x--- 1 root ossec 10908 Aug 12 16:06 /var/ossec/etc/shared/agent.conf
XML excerpt to show location:
<agent_config>
...
</agent_config>