If you don't want the music at all, then you should delete the music from your hard disk and then sync; this will delete music from your Zune.
If you want to keep the music though, then usually when I go to the 'Michael' section (my Zune's name is Michael), I can delete stuff just like I was deleting it from my library. Even though it says that the Zune software can't delete content directly from the Zune device, it does it anyway.
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