The lower-left corner of the interface displays three icons (for your device, a CD, and a playlist). If one of them is active, the outline will be filled in. Here, you can see the color of the Zune that is connected. If the Zune is currently syncing, you'll see the percentage of completeness. You can click on the device icon for a more detailed view of syncing and to set options for the Zune.
Photo credit: CNET Networks