You can also open the device view in the software, go to music. Click the Artist column (so that all the artists are highlighted) and then right click in the selection area, and choose Copy to Collection. This will then place all of your music into your Zune media folder (which is located under My Music).
You will know if it has been copied to your PC because the file size will then appear beside the Heart/Broken Heart rating.
Free mp3s and Podcasts @ ZuneTracks.net
2009 Microsoft Zune MVP