Trying to reset the Zune is a pain. Before you do that I would suggest you try something else. First, do the songs show up and play in the collection? If they do then I would connect the Zune and open the Zune program. Click on settings>device>sync options. Then click on erase content. Once you have done that then resync the Zune. If you want to try the other way first, I've included instructions for resetting and reformatting the Zune.
How do I reset my Zune?
Sometimes a soft reset may be necessary if your player is acting up. You may, for example, be advised by technical support to reset your player as part of a troubleshooting effort.
With your Zune turned on, press and hold the back (left) button and the "Up" button on the control pad at the same time. Your player will reset itself.
How do I reformat my Zune player?
Under rare circumstances you may need to reformat your player. (Typically you wouldn't do this unless directed to by Zune technical support.)
First, press and hold the back (left) button and at the same time press and hold the "up" button on the control pad.
The player will start to reset; as soon as it does, hold down the back button, center button, and right button at the same time.
Your player will then inform you that it is deleting all media on device, and your Zune should revert to the "way it was" when you first pulled it out of the box - except that you will lose the pre-loaded content. There's no workaround for that one... yet!