The Zune came out just a few weeks before the business edition of Windows Vista, but the two weren't compatible out of the box.
There was a workaround that involved patching the installer (MyZune.msi) to make it run the setup on Vista, but that is no longer necessary with the new Zune software released yesterday. The software includes the v1.2 firmware update for the Zune media player that fixes some stability and performances issues.

