At the top left of the Zune software should be a string of words, Quickplay, Collection...and the last one on the right should say Device. If it doesn't for some reason your Zune isn't being seen (yet). The last menu item is Social if it isn't seeing your Zune. When you click Device it should show a picture of your device (and left and right arrows if you have more than one.) The options below the Quickplay to Device menu items relates to your Zune. These are Summary, Music, Video, Etc. Click music and you can get to the files on your Zune, and copy them (save to collection...which is on the PC), whatever.
If the problem is that your Zune isn't being seen, post back, or try the MS Zune forums at http://answers.microsoft.com/en-us/zune
Hope you enjoy your Zune. Zune pass is something you might like to look into for having wide access to lots of music. You can however buy music from iTunes, Amazon or Zune, and certainly you can rip your own CDs.