A couple of things to try
First did you install the Zune 3.1 extensions?
Download details: Microsoft XNA Game Studio 3.1 Zune Extensions
If you did and this worked 100% then did you start with a Windows Games project? This can occur because the code from the Windows project gets copied over, specifically the line “<PlatformTarget>x86</PlatformTarget>. The workaround is to manually remove these lines from the Zune copy of the project.