I followed the tutorial from this site:
http://theappleblog.com/2008/08/04/tutorial-build-a-simple-rss-reader-for-iphone/
to make my first iPhone application, now I would like to test this application on my iPhone, what steps do I need to take in order to do this?
Become a registered iPhone developer. You can't deploy to the phone without doing this first.
You have two choices. You can register to become an iPhone developer like most people do on the iPhone Dev Center, and then deploy directly to the device by selecting "Device - iPhone OS 2.2" in the Overview menu and then hitting Build and Go.
If you're not using any 2.2-specific APIs, you can compile with "Device - iPhone OS 2.1" and then send your app bundle over to a jailbroken iPhone via SFTP, and fake the codesign process using the ldid utility, allowing you to mess around with your apps on the device without registering to become a developer, and without having the headache of installing the open toolchain.