If you're using a Zune with the 4.0 version of the software, you should be aware that BY DEFAULT your Zune is sending our usage data to Microsoft. If you don't want your usage data being sent to Microsoft, here are the steps to turn this off:

1 - Open the Zune software on your computer.

2 - Select the Settings link near the top.

3 - In the left panel, select Privacy.

4 - Uncheck the box next to I want to help make Microsoft software and services even better by sending Zune software usage data to Microsoft.

5 - Click OK to save your changes.

Once you make this change, your Zune usage will no longer be sent off to Microsoft.