Here’s a bugger.
If you have a file type associated with the Zune software (.mp3, for example) and you double-click on the file to play it, BUT you already have the Zune software open, the file won’t open and gives you an error telling you that the Zune software is already open.

Apparently, you can only play a file in the Zune software if it exists in your Zune software catalog.
Windows Media player doesn’t work this way. Windows Media player is smart enough to know that you simply want to play the file and not add it to your playlist. It’s also smart enough to change media if it’s already open and play the new file.
So, to play the file you have to either:
a) close the Zune software (making sure you have your Zune disconnected from the computer)
b) right-click on the file and choose to play it in Windows Media player.