Go to the liberate compatibility list and look for "pocketdos". Install it to liberate, it works fairly well I believe there are better instructions included with it, if not there should be a thread on here dealing with that. If neither of those are true let me know and ill create a tutorial for you.
Now that I have helped you, I must say that I absolutely hate people that say "well the iPod has it so why doesn't the Zune".
1. the iPod is built to be more friendly to apps and games. The Zune is a music player
2. If you haven't noticed by now there are FAR more people with ipods than zunes, therefore more devs and more motivation for devs
3. If the amount of people with ipods wasn't enough motivation, you can actually make money creating iPod apps
4. The zuneHD is a relatively old device. It came out the same year as the second gen iPod touch. It is unrealistic, and illogical to compare a 4th Gen iPod touch to the Zune HD.