How to Connect a Zune to an iPhone
STEP 1. For the best performance simply charge both Zune and iPhone.
STEP 2. Now you have to Power on the Zune HD and the iPhone.
STEP 3. Now you have to launch the iPhone’s WiFi hotspot app and simply note the network name, or SSID.
STEP 4. Bring up the wireless settings by scrolling to the Zune’s settings.
STEP 5. Now simply connect Zune to the wireless network of your iPhone.
That’s it. In this way you can connect a Zune to an iPhone. You should note that you will need to have jailbroken iPhone for this process. You can follow the steps posted here to jailbreak your iPhone on iOS 4.2.1 using Redsn0w.