Using the Zune Software
Wanting to add songs to your Zune or Zune HD using the Zune software? You probably installed this software while you were unboxing your Zune and charging the battery, but if not, do it now. Just insert the CD that came bundled with your Zune into the drive of your computer and follow the onscreen instructions.
Software installed? Great. Now connect your Zune via USB to automatically launch the program. If you haven't already added music to the Zune software, do this now by clicking "Add Folder" in the "Collection" tab, then navigating to the folder on your computer where you keep your music. Click "Apply" and the music is added to your software.
Now that the Zune software recognizes your music, it's time to add those tunes to your Zune or Zune HD. Highlight the songs you want to add by holding "Shift" and clicking the first and last items in your "Collection" tab to be added, then drag those items to the Zune icon in the bottom-left corner. A dialog box will let you know when it's safe to disconnect your Zune.
Alternatively, sync all the music in your collection (or as much as will fit onto your device), open the "Device" tab and check "Smart Sync." Now, clicking the Zune icon in the bottom-left corner will fill your player with music.