From the microsoft windows phone site
'The Zune software is the tool you need to sync your music, videos, and pictures between your computer and your phone. You also need it to get any updates. To learn more, see Sync files with my phone.'
Before I read the above I thought you could just browse the apps with your phone, download and install it? That might have been a tad too easy. No sir, when you are hanging from a mountain cliff in the Andes mountain range and you browse your phone to get an app that might come in quite handy, all you need to do is go home, boot up your pc, run the zune player, download the app, connect your phone to your pc, install the app and go back to your mountain cliff.