@Clint: Yes I'm from Belgium. I have some other friends who do have an Windows Phone and they also are not able to access the 'apps' section of the marketplace in the desktop software. The marketplace on the phone itself does work.
If we click links to the zune software it says 'Not available in your Country' BUT IT SHOULD BE.
A guess: Belgium has two main languages French and Dutch. Dutch is the same language as used in 'The Netherlands' a country where the marketplace and phones are nog officially available. Maybe they blocked the marketplace for all Dutch speaking people? Instead of people located in The Netherlands? It's a classic Microsoft internationalisation error.