Zune is Microsoft's music player click here; WMP stands for Windows Media Player, the software that comes with Windows but which you can also download click here It manages digital music and movies. I'm not very keen on it - I think the interface is clunky - but others like it a lot. I prefer iTunes click here The downside of iTunes is that it doesn't handle the .WMA format which is WMP's default; similarly WMP doesn't handle .AAC, which is iTunes' default. Both rip into and handle MP3, though.
All this becomes important if you're thinking of buying an MP3 player as there are format issues.