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just so everyone knows, i swooped this from zuneboards.com (mutequacky2 is the original author), not tryin to seem like i figured this out myself...
have the zune plugged in and software running...
"Ok, first go to settings, then device. See where it says forget this device... click it. then it pops up with something saying that you have disconnect then reconnect blah blah blah. don't do it yet. go over to your music collection and then delete whatever you want. Now, disconnect and then reconnect. then it pops up with your zune... click next. personally, i like to have it set to choose my stuff... yeah. click finish. Volia...."
i tried it myself with different albums and whatnot and it works each and everytime, just make sure it's set to "let me choose my music" (not the other auto sync method) and you'll be fine after doing this.
enjoy, i know how annoying this was for me to figure out, figured i'd help you out!
Source(s):
http://www.zuneboards.com/forums/general-zune-software/12863-primitave-method-deleting-songs-collection-w-o-deleting-zune.html