If you want to program games for the Zune you'll need either Visual Studio C# 2008 Express or Visual Studio Standard Edition or higher with C# installed. This CTP works only for Zune and Windows, and does not support XBox 360. However, it runs side by side with Visual Studio 2005 and XNA 2.0, which does support XBox 360. The CTP does not work in 64 bit at this time.
You might also be interested in this starter kit, which is a role playing game for the XNA studio platform.