There are step-by-step instructions -- it's easy. The only real impediment is $99. Getting an app on the iphone is several orders of magnitude easier than writing an app. Being able to run emailed .exe's is precisely the kind of stuff that is killing the PC for most people.
I think the whole point is that while the average Joe shouldn't run .exe's from e-mail, the fact that you can't ruins this easy way to load your own app on your own machine because Apple is assuming everyone that uses their device is an idiot. Would it really be that hard to allow for a .exe blocking feature that can be disabled?
I think the whole point is that the $99 and having to use Apple's development package and going through Apple's approval process is an impediment to development. You can't write an app for whatever you want (http://www.huffingtonpost.com/2010/02/19/banned-iphone-apps-...) because Apple censors App development. True open source should be open. Iphone and Ipad are not truly open.