The easiest way to set up as a guest is click "forget this device" and hope it does. It should give you the home/guest opition sign-in page next time you plug in, although that never worked for me.
What does work for sure is to set another computer, one that you probably will never use with your Zune, as the home. Then every time you plug back into your computer, you'll get the opition screen and can just be a guest. I did it with my girlfriend's laptop and have loved my Zune ever since.
Guest since 2007