Well, I haven't seen a DECENT tutorial for this yet, so I figured I'd make the ONLY perfect one that you don't have to leave your Collection all jacked up with. You're welcome in advance.
Ready!?
1.) Open Zune.
2.) Sync everything that you are going to delete.
3.) Click Settings (Top Right).
4.) Under "Device" Click "Forget this Device."
5.) Close the Zune Software and Disconnect your Zune.
6.) Re-Connect your Zune and await the software to load.
7.) Linking it with your zCard/Live Account is optional.
8.) Go to the Media you want to delete off of your computer.
9.) Right click on all the files (albums, movies, etc...) you wish to remove from your computer and not your Zune.
10.) Click "Do Not Sync with {Zune Name}" (If Available...if not go to next step)
11.) Delete from Collection FIRST.
12.) Then Delete from your computer.
Voila! Erased from Computer but not from Zune.
Tutorial brought to you by your friendly neighborhood U.S. Army Soldier.