As a Best Buy Supervisor Ill let you know one thing up front....
Once software has been opened, including CD's and DVD's, Video Games as well, It is absolutely unreturnable. It is only EXCHANGEABLE for the exact same title. Sadly this is not a Best Buy thing, it is due to the Federal Copywright protection act.
As for having a rewardzone card, it will help us find your receipt information, as it is all stored in connection with the card (thus how you earn points)
If you didn't have the RZ card, and you lost your receipt, you would be SOL, unless it happened to be purchased in the Brick and Mortar store that you are trying to do the return or exchange at.
If it is a Best Buy.com purchase, it will be a little more difficult, but that still be done at the store, even with out a receipt, as long as you have the order number.
-K