I also received the update by changing my Regional Settings (in Control Panel) to English (Canada).
To do this, close the Zune software, open Control Panel, go to Regional Settings (in Vista and Win7, not sure about XP), change your language to English (Canada), click OK.
Open Zune software (don't be surprised if the Marketplace section disappears from your software), sign in and go to Settings, Device, Player Update. The new update should be detected. The version is 4.3 (191). Follow through the update process.
Once the update is finished, close the Zune software, go back to the control panel and change your language back to English (united states). Open up Zune software, and you should be all done.
Black 16GB Zune HD
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2009 Microsoft Zune MVP