There may be many ways to save the last album played on the Zune, but here is one way. 1) Pick an album, pick a song, and start playing the song by pressing the center black button. Let the song play for 5 seconds. 2) Press the play/pause button to pause the song for 5 seconds. 3) Press the play/pause button to resume the song for 5 seconds. 4) Press the play/pause button to pause the song for 5 seconds. 5) Press and HOLD the play/pause until the Zune goes to sleep and then count 5 seconds. 6) Press the play/pause button to turn the Zune back on. 7) Keep pressing the center black button until it plays a song from the same album. Let the song play for 5 seconds. 8) Press the play/pause button to pause the song for 5 seconds. 9) Hold down the Left button and the down button (outer black circle) until it powers off. 10) After 5 seconds, reboot the Zune.