In the news world, this is called "B-Roll" footage: it's video footage prepared by the company you're doing the story on - although usually wouldn't have music with it because the journalist filing the story would be doing a voice-over, explaining what the user is seeing. This footage comes straight from Microsoft in MP4 format, but I've also uploaded it to YouTube and converted it to WMV so pretty much everyone should be able to view it in one way or another. I suggest downloading the MP4 version (49 MB) or the WMV version (25 MB) over the YouTube version because YouTube's quality is so low.
The video has a lot of information packed into it: the improved user interface on the Zune, the radically different Zune desktop software, the new Zune Marketplate, and a whole lot more. I've watched it several times now - there's some exciting stuff in here!