Even though the Zune HD has a power button, simply pressing it will not turn the device off. To turn off your Zune HD and preserve your battery, follow these steps.
1. Press and hold the power button (located on the top of the device).
2. Continue holding until POWER OFF is displayed on the screen.
3. Using the touch screen, slide the POWER OFF window to the bottom of the screen and the device will turn off.