Erase the Zune device. Go to Settings - Device
a USA based Windows Live ID is required. Period.
need to change your location to USA. Are you stationed in United States?
Go to Start > Control Panel. double click Regional and Language option and change the location to United States.
if you want the marketplace on the device, you must link your Zune to your Zune Tag by going to Settings > Device > Linking options.
Follow this guide:
http://forums.thoughtsmedia.com/f5/international-zune-users-guide-23576.html?highlight=internationalTo activate the marketplace in the device, just link it to your Zune Tag go to settings - device - linking