From Heise Online  :

Brechtmann, who is responsible for "entertainment & devices" at Microsoft Germany, announced that the vendor won't compete against Apple's iPod in the near future. "German consumers are not easily impressed with product labels", he says. In addition, the majority of MP3 players in Germany were sold in the price bracket below 100 euros.

"Apple can't be beaten with coolness. You have to offer added functionality", Brechtmann is convinced. Therefore, Microsoft places its hope in the Zune's ability to swap tracks using wireless technology. For launching the Zune on the German market, the vendor also considers co-operating with download portals like Musicload.

[...]

You can also read the Deutsche Presseagentur's article in German about the issue: Microsoft zögert mit Zune-Player vor «schwierigem deutschen Markt»

Microsoft and the especially the Zune team hasn't announced anything about the release of Zune to Europe or any other country. But Amazon in the Zune 2 players specs writes the interface will be in English, Spanish and French which could imply a release at least in Canada.

So for Germany Microsoft is not yet ready to release Zune and will have to move first towards additional functionality and cooperations with download services.