I'm afraid that you do have to pay for the ability to put programs onto your phone. Unless you are student, in which case your Dreamspark membership will give you entry to Windows Phone marketplace and the ability to load your progarms onto hardware.
I don't work for Microsoft as such, and I've no real insight into their policies on this, but they seem quite sensible to me, in that if everyone could put programs on any device then this would remove the need to buy them. Folks could just pass their programs
around and create a "marketplace underworld" where anything goes, rogue programs can't be told from proper ones and nobody can make any money from the platform. What they have done strikes me as the "least worst" option, and is in line with market practice.
It is only the price of a couple of video games after all...
On thing I would love to see (and which may come along in time anyway) is an alignment of the Creators Club with Windows Marketplace so that one fee gets you access to both. Perhaps that will come in the future.