The best thing to do is get an auxiliary audio jack installed.
It just looks like a headphone plug-in.
Then buy a Belkin cable from walmart. One end plugs into your zune, one end into the audio jack in your car. The cable's cost about seven dollars.
Or you could install a tape player, and get a tape player adapter.
Or you could get an FM transmitter, but I've found that they don't really work that well. For best performance, I recommend installing the audio jack or the tape player.