There is no reason for Microsoft to enter the handheld market.
The Xbox and Xbox 360 only exist to protect their monopoly on the OS market. This is really the only reason that Microsoft ever ventures outside of the software market(it's also the reason they fail every time). Neither the PSP or the DS is a threat to their OS monopoly, and they've already lost over 5 billion dollars on home consoles to date. The PSP has managed to carve out its own part of the market by not directly competing with the DS, and most people can't see a reason to have more than one handheld. A Microsoft handheld would have to directly compete with either the PSP or DS, either of which would be catastrophic.
The Zune will probably end up just like the MSN music store considering that most people don't even know what it is, and it wouldn't surprise me if the 360 or its predecessor ended up being Microsoft's last console.
Consoles owned: Saturn, Dreamcast, PS1, PS2, PSP, DS, PS3
