I finally got the zune to install, well to be honest I did get it to install last night but it started then turned back into the old version.
This time it seems to be correct because when it worked for the short time last night it did not say it was a success installing. What I had to do was turn off the one care firewall, turn on the windows firewall, and tell the windows firewall to use recommended settings. After that it installed easily.
This is on a vista 32 machine.