Before you can start harnessing the full power of your Zune, you need to follow these simple steps to install the prerequisite software. Note that if you've already been using 3rd-party XNA applications not available through the Zune Marketplace, you have already completed these steps and are ready to continue.
XNA Game Studio 3.1 provides the necessary components to install applications not published by Microsoft to the Zune.
Once you have installed XNA Game Studio 3.1, you need to add your Zune to the Device Center to be able to install to it.