The Zune store is called..Zune Store, or Zune Marketplace. You can buy the songs or rent the songs with money or Microsoft points (and the ms points can be used for a variety of MS products but most use them for Xbox 360), and I think it also works with MTV's music store, but I can't think of the name of the store right now...
Anyways, I have heard rumors and rumblings that soon you will be able to buy music off of the Live Marketplace on Xbox 360, made specifically to use in Windows based players such as Zune. Also let me correct you about Microsoft and their software. Microsoft for the most part, is one of, if not the best software company in the world. The irony of that is, they fail many times in making a great product in the portion of their business that makes the most money, and that is Windows. Keep in mind: as long as it doesn't say Windows, its OK!
Personally though, I like Windows XP, it's Windows 95 back in the day, and Vista that piss me off. I mean, it took them like 5 years to make Vista, and it comes out feeling rushed...and it pisses me off.
Many of Microsoft's products however, Microsoft Office, XNA Framework, Xbox, Xbox 360, I couldn't go without at this point.
I also like to use Messenger, because while Im on my 360, my friends can message me, and thats a hell of a lot easier than getting off my lazy ass and checking my computer messages.