FIrst of all, if you want to get your app onto an actual iPhone, you need to register for Apple's iPhone Developer Program. This cost me $120 AUD.
The first thing you have to do is download and install the iPhone SDK. If your device is running 2.1.1 of the iPhone OS, you need to read the iPhone OS - Pre-Installation Advisory (one of those boring docs you wouldn't normally read) which tells you to create a symbolic link from 2.1.1 to 2.1. You can read it yourself for the exact details.
Then you have to stuff around getting a few certs onto your system and into Keychain Access.
Then you have to register your device (I'm just using my iPod Touch to develop on), register an App ID (whatever that is), then create a provisioning profile. There's a trick here, and again you have to read the how-tos on the site carefully - when creating the App ID you use a syntax like com.yoursite.nameofappid. However you can also use a wildcard format in which case the ID looks like com.yoursite.*. But then it says, "For iPhone OS 2.0 development, use a wild-card App ID for all of your applications." So, ok, for iPhone OS 2.0+ development you must use the wildcard format.