You don't need the Zune app if you have WMP10 or 11.
Open it, click on the library tab up top, select media sharing with your xbox 360 running and at the dashboard. It should show up.
Just get TVersity if you want to stream. It allows you to stream videos that would otherwise require codecs. Just a heads up though, it can be a slight pain to set up, but worth it in the end.