TRY INSTALLING THIS WAY:
Remove or disable any adware program like Spybot or Ad-aware.
Disable any Firewall like ZoneAlarm and such. Leave the Windows Firewall on.
Disable any virus protection like Norton or McAffee
Uninstall the zune software from your PC and remove any reference of *Zune* from your registry.
Some registry cleaning tools here: http://zunetips.wordpress.com/2008/01/14/registry-file-cleanup/#more-105
Use Unzoone *IF* necessary.
There is an utility on MS site that can help you in cleaning your computer. Windows Clean.http://support.microsoft.com/kb/290301
Update your Windows FIRST
Go to www.zune.net/setup
and download the full Zune XP package
(if the Zune site doesnt work for you, try this www.microsoft.com
* if the installation goes wrong, run the big zune-XXX.msi file under the packages folder, extracted into the zunexp folder. use the 32bit version for 32 bit Windows and the x64 version for Vista 64.
After the installation finishes, plug your Zune and update it going into Settings > Device > Device Update.
Detailed install using the MSI.
1. Download ZunePackage3.0.exe (you did already)
2. Extract ZunePackage3.0.exe
3. Go to x86\packages folder under the new zunexp folder
4. Run dotnetfx.exe
5. Run wmfdist11-windowsxp-x86-enu.exe
6. Run windowsxp-kb915865-v11-x86-enu.exe
7. Run zune-x86.msi
Try the detailed MSI install. Later.
Follow the next link for other solutions if the above doesnt work:http://forums.zune.net/131161/ShowPost.aspx