I'm only a newb at this, but I believe that you should try broadcasting the wifi. See if that works first. If should work because mine is the like that, and it works.
If it works, just put a really complicated password on it. Don't worry, the zune will memorize the password for you so u won't need to type it in all the time.
However, if it doesn't work, try it out with other wireless routers. Set it with the same settings and try it out. If it works, then it is the first router's problem. If it still won't connect, then it is something with all the zune hds. If this was the answer, sorry for making u read all of that
When i tried to connect my zune hd to my router w/ broadcasting turned off, somehow it wouldn't connect, so I reseted my router and put it back to WPA with broadcasting. Now it works.