The Zune is not a portable hard drive. It would either have to remain on your computer or you would have to sync your Zune as a guest of your computer and not as the main computer. To do that, go to (settings-->device-->sync options) and click (forget this device). Then when you reconnect your Zune say that you 'always want to connect as a guest'. The only thing to that is that you'll have to manually add/delete from your Zune because auto syncing won't turn on.
Marques Lyons (tromboneforhire)
Zune MVP
Contributor, http://www.insidethecircle.net