in most cases there are no need to explicitly specify columns for select (except queries to tables with many fields or very big fields data from which are not needed), so try to use something like:
$criteria = new CDbCriteria();
$criteria->with = array("provider");
$criteria->together = true;
$_agents = Agent::model()->findAll($criteria);
//then you can access society field like:
foreach ($_agents as $model) {
echo $model->provider->society;
}
Also try to (re)read this to better understand how to use active record.