Zune's a Microsoft product, but I don't think it would've been installed as a MS update (it's certainly never appeared as an update for me). Maybe somebody else installed it on your computer?? Do you know anyone with a Zune player?
Zune - Wikipedia, the free encyclopedia

I don't use a Zune, but it looks like the software does collect info from your computer - during installation & if you use the Marketplace.
Zune.net | Download Zune software

If you're not going to use the software, uninstall it