Well the way I have my videos organized is I have a folder somewhere called "Zune Videos" so that all the videos I want on my zune are in that folder.
Open up the Zune Software by double clicking the desktop icon.
Go to Settings. Make sure you are on the "Software" part of the settings menu (there are three parts, software, device, and account).
Click on Collection (if it's not already selected which it should be). There is a section called "Videos". Underneath this there is a list of folders Zune software monitors to check for new videos. You can do one of two things now.
(1) you can copy the video you want into one of the monitored folders and use that to store all your videos.
OR
(2) Click "Add Folder" and then navigate to the folder where you have your video.

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