Zune is like iTunes, it's just software for organising your music/video files and linking to the Marketplace to buy stuff. It's quite simple to use, and it should prompt you to install it when you plug your phone into the computer.
The music you have on iTunes will be stored in the iTunes folder on your computer. If you don't know where that is, right click on any track in iTunes and choose 'Show in Windows Explorer'. This will give you the file location, which will be something like C:\Users\YourName\Music\iTunes\ArtistName, where YourName and Artist Name are specific to you/your computer.
If the music is already in the default Windows Music folder (C:\Users\YourName\Music), Zune will pick it up automatically once installed. If not, you can either move music to that folder, or change where you want the Zune software to look, in the 'Settings' once it is installed.
Points are just store credits, you buy points with your card, which you can then spend on items from the Zune Marketplace, which is a hangover from the Xbox system. I'm not surprised it's going away.
You don't have to buy from the Zune store, by the way - I prefer Amazon downloads, and just use Zune for managing stuff on and off the phone.
The Help section is actually pretty good - there's detailed answers with screenshots for most things, and there's also a lot of video walkthroughs on youtube.