Microsoft occasionally pushes out minor updates to allow larger updates to work a few months later. Vista had a number of patches that had to be applied before Service Pack 1 could be installed and those were rolled out about a month or two before the service pack was released. The desktop Zune player has been used for years to update the Zune MP3 players, but never Windows Phone 7. By rolling those patches out now it allows MS to make sure the patches themselves don't cause problems and also allows developers and others in the beta or prerelease program to test both the update and the update mechanism.
WPCentral has been paying close attention to the update. The version number in the Zune About screen doesn't change, staying at 4.7.1404.0, so it would appear this does nothing but allow Windows Phone 7 updates. What is visible if you poke around deep enough is ZuneWmdu.dll and ZuneWmduResources.dll are updated and those two files are known to be necessary for the WP7 update process.
If you have Windows Phone 7 and the Zune desktop software, you don't need to do anything. Windows Update will push the update out along with the security fixes mentioned in the twelve February bulletins that were released on Patch Tuesday, February 8.