Zune installation problem?

OK, I've spent over 6 hours on this and it's finally working. Then when it finally finishes, it says can't download from Microsoft Update. Can't download the required components from Microsoft Update. Please try again later. Error Code: 0×80240022. I currently have everything updated, I just need Windows Media Format SDK installed, since I already have the update for it. Where can I install Windows Media Format SDK? This has been giving me a hard time and now I'm considering of returning it.