That's a good thing!
With this round of Holiday Season, the Zune team completely re-wrote the software and firmware for the devices, making that CD about as useful as a drink coaster. No matter what, you're going to have to download the software from
Zune.net, so I'd suggest you pull out the CD, download the software, and while that's installing, make a nice craft product out of the CD.
Just make sure you have Windows XP Service Pack 2 or Windows Vista (you can find out by going to the Start menu, hitting run, and then typing "
winver", minus the quotes). If you're still having trouble, try using
SZIP.
Good luck!