To get the Zune Controls on the Taskbar, you need to have Zune minimized, and Zune Checked on Toolbars, like it has to be with WMP
These directions are for XP, not sure if Vista or 7 handle Zune differently.
Had a 7 computer in mothballs, and Zune works pretty much the same as with XP, in that you do have to have Zune Minimized to have the Play and Pause controls visible on the Taskbar when you Hover over the Zune Shortcut. Unlike XP though there is no check box under Toolbars for Zune and WMP