OK, so I just go my Zune [woohoo] and Im kind of dissapointed. I downloaded the software blah blah blah. And When I open the Market place this is what I get:
Check to make sure your graphics card drivers are up-to-date, and that you've restarted between installation and your first run. After that, I'd uninstall the software and re-install using SZIP. Try it and tell me how it works.