some DVRs you can copy media to an external hard drive, from there you would just need to convert it to work on an ipod. not sure a zune needs any converting.
if your DVR wont do that you can get a input card and stream your video into your computer. then convert and put on your ipod/zune.
OR screw all of the above because you can just download whatever show you want, convert that and throw it on your ipod/zune.