Did you download the Zune software?

Because thats the only way the Zune accepts stuff.

Retro_7

Upload the software to your computer. Once the software is up and installed, you put a CD into your computer, and you need to rip your CD to your computer. Once you have enough CDs onto your computer, you make a sync list and then add the songs to your Zune.

Didn't you get some instructions? If you need anymore help, PM or IM me.