There are two ways to turn off you Zune completely.
#1: Hold the [back] button simultaneously with the [down] button on the click wheel for five seconds and I will turn off completely.
#2: Leave the Zune on till the battery runs out.
Hope this helps
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My zune just all of the sudden wont turn on Mine too. It was charging when i plugged it into my laptop and then it said it was fully charged. So when i unplugged it it went dead and it said that it was completely dead. And now my computer wont even register that i have plugged it in and it wont turn on or charge. I have a 80 gb zune. Its not damaged or anything, its never been dropped and it has never been exposed to any kind of liquid or anything and now it just wont work. Does anyone know what could be wrong or have any ideas about what i could do???
The charge might be down or it might be locked. Try looking on the top and if the little switch is showing red, it is locked and it cannot be turned on. If you switch that, it should come back on. My iPod did something like this and we had to reset it. I am not sure if Zune has a reset button, but that might be a solution a well.