The latest Windows Media Player will recognize a Zen (at least, it does for my Zen V:M) and auto-synch after intial setup. Any mp3 works w/o issue.
Also, I haven't gotten anything from iTunes for my Zen, but there are free vid converters out there that I've used--would any of those work? .avi appears to be the preferred but Zen handles several formats.
For that matter, Zen comes with video converter that I've found sort of hit or miss but worth checking out.
And, FWIW, I pretty sure I DID get a TV show once from iTunes and I know I played it on my computer. A small correction but it is not true that can only play on iPods--maybe this would be a better-than-nothing option for the OP for the stuff that has already been paid for?