Look for a 3-to-1 adapter at Radioshack (3 female to 1 male). Plug the orange, green, and black wires from the pod into the adapter, then the other side of the adapter into your Zune.
Oh yeah, it looks exactly like a regular headphone splitter, just that it has 3 input plugs. I have one that I use for my iPod. Good luck finding one though as they are somewhat hard to find (but I found mine at a Radioshack).