Earlier this week, the Zune Team released an update to the Zune client software and Zune device firmware. Some of the major improvements include fixing a skipping problem affecting content acquired from the Zune Marketplace, and FM tuner changes to prevent battery drain. Also with this release come device and software reliability and performance improvements.
The relevant point here is that the release was delivered via Windows Update, which detects the new Zune software and advises you to install it (assuming you have chosen to get updates via Windows Update, which is advisable).
You'll soon see more MS applications putting to use the power of Windows Update for distributing software releases.