You'll need to link your Zune device to your marketplace account. Connect your device at home, then go to Settings > Device > Linking. Choose the button to link your device to your zune tag and check the box to enable marketplace purchase on the device. Click next, enter your credentials, then you should be good to go.
Matt Akers
Zune Product Team
.: This posting is provided "as-is" with no warranties, and confers no rights :.