Have you seen the online Zune User's Guide... lately?
I checked this out recently, prompted by a recent post
The guide has been much improved from the versions I'd seen earlier. It has all been updated, of course, for Zune second-generation players and Zune 2.5 software. Sections include Getting Started, Your Zune, Zune Software, Zune Marketplace, Music/Videos/Pictures, Podcasts, Sharing with Friends, and Joining the Social.
You can view it here
While it doesn't drill down into great detail - hey, that's what Zune community sites like Zunerama are for - it does provide a useful primer for new Zune users.
Versions of the guide are also available in Spanish
and in French