You do not need XNA Game Studio to run the games that have been included with the Zune (Hexic and Texas Hold'Em). XNA Game Studio is a development tool that allows people to write games for the Xbox 360, Windows and of course the Zune. With XNA Game Studio, you are able to deploy games to the device (even those created by others) but if your not comfortable using your Zune for this I would recommend sticking to the inbox games.
Michael
XNA Game Studio Product Team
.:This posting is provided as-is with no warranties, and confers no rights:.