I've never used a Zune though my brother had one until he lost it. lol
According to this page, Microsoft Zune 30 GB Digital Media Player Manual Zune can automatically import your music from WMP & iTunes.

Though the manual gives zero help for learning how to add music. Typical Micro$oft support.

I presume you can either drag & drop files or playlists onto Zune on the desktop or using their software scanner for files to add. To find your music if not in your music or iTunes music library, then select a song listed on your Library window in LW, right-click & choose Locate file on disk. That will open the folder for you.