Zuneboards has an article on installing games to your zune. I browse through it and it seems complicated and you need to download 2 programs:
Microsoft XNA Game Studio 3.0 CTP
Visual C# 2008 Express Edition
I have yet to have the time to got through with the process and since I'll be reformatting my computer anyway to install XP SP3, I may try this soon.
Click on the link below for a step-by-step walkthrough on the installation.
Zuneboards DIY Zune Game Install
