You're unable to use your Zune Pass subscription with Windows Phone 7.
There are several possible causes of this issue:
You don't have a Zune Pass.
Your phone is not associated with the same Windows Live ID used for your Zune Pass.
You have too many phones or devices registered to your Zune Pass.
If you don't have a Zune Pass
If you are a new Zune customer and don't yet have a Zune Pass, you can sign up for one at http://www.zune.net/zunepass. You'll have to sign up for the Zune Pass by using the same Windows Live ID that you use on your phone. To determine which Windows Live ID is associated with your phone, read the following article in the Microsoft Knowledge Base:
2434469 How can I tell which Windows Live ID is being used by Windows Phone 7 for accessing Xbox LIVE, Marketplace, Zune services, etc.?
If you already have a Zune Pass
If you already have a Zune Pass, you should be able to download music as soon as you tap and hold an item. See the following article on the Zune help and how-to site for more information about getting videos, music, and podcasts from Zune Marketplace.
However, if you tap and hold an item and the option to download does not appear (see image below), then your Windows Phone is associated with a different Windows Live ID than the one that you are using for your Zune Pass subscription.
If this is the case, you have two options:
Option 1: Cancel the Zune Pass subscription and sign up for a new one by using the same Windows Live ID that is associated with your phone.
Option 2: Reset your phone to the original factory settings and then use the Windows Live ID used by your Zune Pass for the phone. To reset your phone to the original factory settings:
On your Windows Phone, flick left and tap Settings.
Scroll down and tap about.
Tap reset your phone.
Note Resetting your phone to the original factory settings will delete all content on your phone, including purchased apps, music, video, and photos.
For more information about how to select the best Windows Live ID, view the following article on the Windows Phone website:
If you have too many devices registered to your Zune Pass
If the option to download appears, but is grayed out, it may mean that you have reached the maximum number of devices that can be registered to a single Zune Pass subscription. You can have up to 3 devices registered and may remove one device from your Zune Pass subscription every 30 days.
To manage the devices that are registered to your Zune Pass:
Open the Zune software on your computer.
Click Settings, click Account, and then click Computers and Devices.
If you are not signed in, click Sign In, and then enter your Windows Live ID.
Under Zune Pass computer and devices, click Remove next to a device that you want to remove, and then click OK.
The next device that you use with your Zune Pass subscription will automatically be registered.
The download option may not appear on your phone if your date and time are incorrect. To check the date and time:
On your phone's Start screen, flick left to the app list.
Tap date & time.
Slide Set automatically to Off.
Check that your Time zone, Time, and Date are accurate and correct where they are needed.
Slide Set automatically back to On.
Windows Phone 7 Zune Pass troubleshooting issues problems