The Zune may be able to connect to things but there is nothing in the current version of XNA Game Studio to enable you to see any external network.
The only think you can see is up to 7 other Zunes which will apppear to be on an adhoc network. This is as much networking as Microsoft are exposing.
So unless features change between the
CTP and release this is not something that is possible in v3.0.
You can request new API features by following this FAQ
http://forums.xna.com/thread/1864.aspx