I tried to update the software with windows XP but no luck. So after reading at ZuneThoughts the update is available, I updated my windows through windows update (the most interesting update was I added IE7) and tried again to download the Software from Zune.net . So now the "checking for updates" step at the beginning was successful and an update was downloaded and installed on my PC. 

Maybe it was just a disturbance in the force, so just wait or go in Zune Software at:
Options -> Help -> Check for Updates

Any ideas why the Software downloaded (but didn't install because it was already there) the new Zune firmware update again ?

 And this is the Options -> Help -> About Zune menu:

And it installed without asking me to reboot the computer!

EDIT0: You can download it also from Microsoft using this link: http://tinyurl.com/wjl2u

EDIT1: when I drag/drop something from the player to the sync menu I get an option to "Copy from the Device". I don't remember this before.

EDIT2: maybe it was because I also installed WMP11, but I had to re-do the USB drive hack after the update.

EDIT3: while reading about Zune Software Update on Engadget I found it is not compatible with the RC editions of Vista. If anyone tries it, let us know. I have tried it on Vista RTM 32 bit and it works fine.