The Microsoft Zune has a couple of problems. One problem is that it turns off and it won't turn back on! It's not a battery problem. And please don't call Microsoft, you'll just end up wasting your money for such a small and easy repair.

Inactive Zune

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[edit] Steps

Stay calm. Many people freak out.
Make the assessment it's not a battery problem by charging it.
Hold down the button with the left arrow on it. (back button)

First Button
Hold down the up button while holding the back button.

Second Button
Hold down the play / pause button.

Third Button
Wait. The Zune will now turn on.

The Zune reseting.

[edit] Tips

If this method does not turn on the first time, try it again.
Make sure you're pressing all the buttons down and holding them.
If this does not work, connect your Zune to your computer. The screen should read "Connected" and you can unplug it to use your Zune again.
This works as sort of a Control-Alt-Delete for the Zune, and don't worry, none of the content on your player will be deleted.
If your Zune still does not power on, charge it over night and then try it again in the morning.
Sometimes, everything you try does not work, and considering sending it to a repair shop is a good idea.