All you have to do is:

• Download ZuneIEPlugin for Internet Explorer and install it.
  
• Go to a YouTube or Google Video. While watching it press on the ZuneIt icon in the IE's Toolbar (if you can't see it, click the arrows on the top right).
• Wait some minutes to download it (unfortunately, it redownloads a video even if you've already seen it), and convert it from flv to wmv codec.
• Open your Zune Software and watch the video or sync it to your player.

If you'd like to find your videos they are located under: C:\Documents and Settings\<username>\My Documents\My Videos\<Video Site>

Where <Video Site> is YouTube, GoogleVideo or SoapBoax.

Oh, did I mention this is a free converter ? It uses flvtowmv.

EDIT: about problems you may have installing and using it, you can check ZuneIEPlugin forum