Yesterday my ZuneHD was delivered straight from the US. But unfortunately I wasn’t able to sync it with my computer (German Windows 7). After some research I stumbled upon this forum thread in anythingbutipod.com (Zune Hd first sync) which gave which gave me the solution.
My ZuneHD was shipped with firmware 4.0 which only support English, Spanish and French Windows language. To upgrade it you will either have to use an Windows XP / Vista / Windows 7 with English OS language or download and install the English Language Pack (I haven’t done this, but it was mentioned in the forum thread).
After the firmware update is on the device (currently 4.3) you should be able to plug it in any Windows computer no matter what the language of the OS is. (if you use the Zune Marketplace Registry Hack you have to set the region option to US)