You could try deleting the song from the software and your zune is linked to your computer, it should remove it off the device.
If not, get the
Zune HD Patch, patch it, open the software, and find the songs in My Computer>Zune(Pick either one, both will work>Storage>Music and find the song and delete it.
What are you not sure of with the games? That they will work on your zune 30?(Because they do) or something else?