Microsoft is in the business of manufacturing monopolies. Ever since the deal with IBM that launched Microsoft as we know it today -- the deal where Microsoft sold PC-DOS to IBM but could also sell a fully compatible MS-DOS to other manufacturers -- their prime focus has been on that one task. Why do you own Word? If you're like most people, it's not because Word is the greatest word processor in the world for the money, it's so that you can exchange documents with the rest of the world. Everybody has Word primarily because everybody has Word.
Now imagine a world in which everybody had Zunes. You could exchange songs via wi-fi with anybody you want (OK, only for 3 days/3 plays). In that world, if you were the one person without a Zune, there's a good chance you'd want to have one. The lock-in is not as great as it is for Word, but it's the same idea.
Of course, today, the Zune's wi-fi is almost completely worthless because there is no local density of Zunes. But Microsoft is looking ahead to the time that they already have a critical mass of Zune owners. Then wi-fi will be the ether through which user interaction supports their monopoly, just as document exchange plays the same role for Word.
Of course, this all depends on the Zune getting to critical mass. My bet is that it will never happen, because there is little reason to choose Zune over various competitors today. While Microsoft's patented monopoly-machine thinking is clearly visible, in this case it seems more like wishful thinking.