Welcome to our forums! I think I can help you out...I did a little test:
1) Started playing a song
2) Paused it half-way through
3) Press and held the play/pause button to shut down the Zune
4) Turned it back on, and I'm looking at the menu
5) I pressed the back button, and voila, I'm at my paused song
(so basically, just press the back button)