drm removal said:

Probably the Zune video you downloaded fron Zune has DRM protection.

 

Check this guide for detailed information:

 

How to remove DRM play  protected wma wmv m4p m4v or DVD movie on HTC phone

The zune-videos that I'm having problem with is the ones downloaded from Channel 9

 

[EDIT] And the videoes doesn't work for me in the ordinary Windows Media Player on any of my computers either. So I'm wondering if anyone can play the new Channel 9 videoes in Zune-format.