As per dschumm just said. The Xbox and Zune are strategic products designed to create direct competition to products that could hurt their flagship Windows OS. Sony originally wanted their new Playstation, at the time being the Playstation 2, to be much more grandiose then it ended up being. They wanted it to be more than just a game console but also a PC for your living room, this gave Redmond an idea. Instead of letting Sony become the only PC in your living room ,and since they weren't going to use a Windows OS, they created the XBox as well as license Windows CE for the Dreamcast.
In the end, most investors didn't expect these products to be profitable. They are viewed instead as preemptive strikes and therefore worth the investment.
As for profitability, this could be the quarter:
The first quarter of Microsoft's fiscal year ends just five days after Halo 3's launch, and Friar and Grieb said the game will contribute about $170 million in revenue to the company's entertainment and devices division, which would push it into "slight profitability" for the quarter. If that happens, it would be the first profitable quarter for Microsoft's gaming segment since it launched the original Xbox. (source)
Note: that's not for the month, but for the quarter.
