Yeah I had this problem as well when I first started using my zune pass. My friend posted this in zune.net forums, this should fix your problem. Because I had the same problem as you and well mine is fixed now.
Follow these steps:
(This is for Windows XP users)
Exit all programs including Zune Software.
Go to START and click RUN.
Type this in exactly the way it is written
http://go.microsoft.com/fwlink?LinkId=105000
or just copy and paste it.
Press enter or Ok
When the box pops up that that asks you about your DRM setting click the RUN box. If no run box appears then click the SAVE box and save it to your desktop. (If saving to desktop then go to that icon that appears and open it)
On the Licensing screen press OK or ACCEPT.
On the next boxes that come up press OK until you get a box that says your DRM has been reset.
Open your Zune Software and log in to your account.
Click MARKETPLACE and the click DOWNLOADS then click PURCHASED.
The songs that you bought but were unable to download should be in there and next to them should be a download tab. Press DOWNLOAD. That should change to an increasing % sign. When it reaches 100% it should say IN COLLECTION.
If this doesn't work then give Zune a call and have them walk you through it. Remember to ask for someone in a Higher Level of Support.
Happy Downloads.