You can use the marketplace. When you make an account, just put your country as United States. That's what I did, and I'm in Australia.
I'm surprised they didn't use an IP Tracker of some sort to realize you were actually in Australia
I currently have 2 PC's, and a Mac laptop...All of my music is sitting on iTunes on my Macbook. I've purchased a albums from iTunes, but from my reading around on here all I have to do is burn those albums to a CD and rip them with my Zune software to play them on the Zune...Is that correct?
Yup, correct. There might be a way around it, but the plus side of doing this is that you'll also have physical backups of all your music then.
I notice it plays WMV video files. Is it a long and painful process to convert files (divx or what not) so the Zune recognizes them? Or, does will that not happen at all?
From what I've seen, it's generally less than ten steps and then the computer does all the work for a few hours (depending on the length of the video). So, being that you have multiple computers; I'd just suggest using the slower PC to do the converting on, so you can still use your faster one to do your normal computer stuff.