When I created Zune account for my brand new WP7 device, I selected the US region – mine was not supported at that moment. Few months later, tired from not being able to buy any apps or games (my card was not accepted by the US marketplace), I decided to switch to my local region. Thankfully, Microsoft has added support for new markets prior to the Mango update.
The process if migrating your account is not so obvious. You won’t find anything related at Zune or Live websites. That can only by done through the Xbox account management (in case you didn’t know – your account is shared between Xbox Live and Zune services).
You will be noted that you can change the region once in 12 months and that you will not be able to re-download all your Xbox Live or Zune content, however it will not be deleted from your devices, so you can back it up.
Read that information carefully and ensure that you understand the consequences. Click Next and select the new region, then keep moving through the confirmation pages.
If everything is fine, your account will be switched to another region. Note that it may take some time to update your Zune account.