If you mean the portable player, you might want to look for zenses (if that is still maintained).
If you are referring to the Zune-player (software)... It is basicly a stripped down version of WMP11. Stripped down because there has been a number of options left out. Think of support for other players then the Zune-player (where my WMP did recognize my iPod, the Zune-player didn't) and (and here is the clou) removed plugin-support.
I did try to add the Last.FM-client manualy, by selecting the zune.exe instead of the wmp.exe. This resulted in an installed plugin in my Zune-directory. However, since the player does not support plugins, it was no use there whatsoever.
So, your only option is asking Support over at Zune/Microsoft if and when plugin-support is planned.
ZuNE