Zune software update (version 2.5) installed
...but, the small update download from the Zune web site wouldn't work. I actually had to download the full package (about 175MB) for it to install correctly.
I received the following error from the small update:
Can't contact Microsoft Update. Please try again later.
In case you need it, too, the full download is here:
http://www.microsoft.com/downloads/details.aspx?FamilyId=6136349F-2B32-4946-83B5-A09775531EF4&displaylang=en
Microsoft has a full KB Article on errors you might receive when trying to update the client software:
http://support.microsoft.com/kb/944938