Marketplace is not available in Zune if you login with a Live ID registered with India as your country.
This means no App,Games, Music or Videos and podcasts which is rarely used.
If you got your phone configured and dont get the option for market place = means your ID was registered with location as India.
to change your location >
login to live.com - on the top right - drop down and select account
check for > Country/region: - hit 'change'
Select United States.
use this same ID when you 'Setup' your WinMo7 + Zune login.
If you have already logged into your Phone before changing the country - this cannot be corrected or deleted. the only way out is to reset the phone :( , since it's the default Live ID and its integration runs deep..
"Windows Live account that you used to set-up your phone can not be deleted from the phone. To remove that one, you'd have to reset your phone (which brings it back to the factory state)."
source : http://editurl.com/l9t