It is drag and drop, if you set it that way. First, connect the Zune device to your computer. Then, go to "Settings", and then "device" in the upper-left. There, you should be able to change the synchronization style to "Manual sync". Now, all that you have to do to add anything onto your device is to drag-and-drop it onto the icon in the lower-left.
Also, if you want to delete everything that's currently on it, there's an option to delete everything one the same screen as the Manual sync.

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