Here's a nice step by step video by Microsoft Academic Developer Evangelist Dan Waters where he demos what is required and how to deploy an XNA game to your Zune. Also check out a pong like game he provides for download which you can deploy it on our Zune. Thanks Dan !
Video: XNA on the Zune: A Brief How-To
(source:XNA Games on the Zune - A Brief "How To")
Please remember XNA game Studio is a CTP version and should not be deployed on your production machine. Try at your own risk and enjoy developing, deploying and playing games on your Zune!