Congrats on the new Zen. You can always boot the Zen into Recovery Mode and do a Format, which will erase everything the computer just put on it. The Recovery Tool is used for reloading the firmware which should not erase any files. They mention backing-up as a precaution.
From the Zen FAQ
How to enter the Zen’s Recovery Mode for Clean Up, Format All, Reload Firmware, and Reboot:
1. With the Zen off, press and hold the "play/pause" button.
2. Continue to hold until you perform Steps 3 and 4. If you accidentally release the button, start the procedure again.
3. Gently push the end of a thin object (like a pin or straightened paperclip) into the Reset hole. You should be able to feel the release click of the button.
4. Slide the On/Off/Lock switch towards the power button and hold until the boot screen appears on the display.
The Recovery Mode screen appears, and four menu items are shown:
Clean Up: A cleanup of the file system and database files takes place. All (uncorrupted) data should stay in tact. When the cleanup is complete, select Reboot. Your player restarts and starts rebuilding its music library. All files should remain intact unless they were detected as being corrupt.
Format All: This will completely reset the Zen and remove all user stored files on it.
Reload Firmware: This will prepare the Zen to accept a reload, new, or older firmware based on the specific firmware file you download and execute on a computer. Selecting this option will prevent your Zen from being able to boot, so make sure you have the firmware file on you computer and ready to load.
Reboot: This will execute a soft reboot of the Zen's operating system.
How do you set WMP to not sync automatically sync?
Open WMP, select Tools from the menu bar -> Devices tab -> right click on the device and select Change Sync Settings -> Uncheck the Sync device automatically check box