Yes, you read right. There is a portable zune software available now, thanks to the work of Lucifer at ZuneBoards. He did say it might require .NET framework and other general updates. I myself have yet to test it (downloading now. its a 250mb file) but will leave a review in the comments.

link:http://www.zuneboards.com/forums/completed/35921-portable-zune-software-3-1-a.html