I'm guessing something's wrong with the COM registration of xnatrans.exe, which is an out-of-process COM server. Try putting the following in a .reg and importing it:
Code:
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\CLSID\{151E9DE0-2A7E-4e7d-9FCB-997FCB8AE022}]
@="XNA Transport Server"
[HKEY_CLASSES_ROOT\CLSID\{151E9DE0-2A7E-4e7d-9FCB-997FCB8AE022}\LocalServer32]
@="\"c:\\Program Files\\Microsoft XNA\\XNA Game Studio\\v3.0\\Bin\\XnaTrans.exe\""
"ServerExecutable"="c:\\Program Files\\Microsoft XNA\\XNA Game Studio\\v3.0\\Bin\\XnaTrans.exe"
[HKEY_CLASSES_ROOT\CLSID\{151E9DE0-2A7E-4e7d-9FCB-997FCB8AE022}\TypeLib]
@="{F6F1AA1A-54E2-4de6-A7E9-01E2F293D34C}"
Alternatively, you could try RIG, a whole new system for application deployment that should sidestep your problem.
If you're planning on developing games for the Zune, you should strongly consider adding RIG using the RIG Development Kit.