Update:
The Chronicle made a mistake and MS did not sell yet the 1 million Zune players. Robbie Bach says that Microsoft expects to sell 1 million by fiscal year end in June. Still 1 month to go. Via Business 2.0.

Microsoft's entered the portable music player market about 9 month ago. The company managed to sell 1 million Zune players to date, says Robbie Bach, president of Microsoft's Entertainment and Devices Division.

Microsoft is apparently reached 10% of the hard-drive based music player market. Bach also hints on new Zune players coming this fall. The rumor from early May about new Zune players did not materialize.
Mr. Bach made these statement in a fairly long interview with the SF Chronicle that also talks about Xbox 360, Social networks and the Apple iPhone.