Bootcamp is an Apple utility that helps you run Windows on a Mac. This is not a Virtual machine, but it's a full on multi-boot installation of Windows that you'll be using. You will require a legally obtained Windows disc to be able to use this method.
1. Make sure you're logged in on the admin account. Go to Applications -> utilities -> Boot Camp Assistant.
2. Now allocate space for the Windows Partition when Boot Camp Assistant asks you to and click Partition.
3. Hit "Start the Windows Installer" and click Continue.
4. Insert your Windows installation disc and click "Start installation".
5. Assuming you're going to install Windows 7, choose "Custom (advanced)" and not "Upgrade".
6. Choose the disc labelled Bootcamp and format it. The rest of the steps are very simple and you'll soon have installed Windows 7.
7. Once inside Windows 7, eject your install disc and pop in the OS X install DVD. Now run through the Bootcamp installer setup and install the Apple Software update for Windows.
8. Once this is done, your Windows OS reboots and you can plug in your Zune player via USB. Install the Zune Media manager software from the CD and you can proceed with syncing the Zune to your computer.
For an in-depth setup guide, check these links - Apple's Official Bootcamp Guide and this article on Brighthub.