If you are interested in creating an Application for the Zune HD you might want to try using my newest project.
ZNA HD is an engine designed to specifically for the Zune HD, designed in C# XNA 3.1.
It is still very much under development but is designed to include all the needed components you will need for a simple game/app.
You can find out more here:
http://code.google.com/p/zna-hd/.