Unity 2.5 for Windows is not iPhone supported if that makes it simpler to understand. I assume since the Unity 2.5 is adding windows to the gang maybe later, a Unity 3.0 update will add windows+iphone to the gang too, but who knows.
You cannot create an executable without XCode and valid developer/distribution certificates, all of which requires a Mac. From Unity's site: "Publishing a build for iPhone will create an entire, complete XCode project that just works. Press "Build and Run" in Unity and put your feet up. Relax until your game automatically compiles in XCode, installs, and launches." It makes an XCode project, and automates XCode's build process. It's just running XCode for you, and compiling the resulting SDK friendly Unity code. No magic there.
@ Monopoly I would just go ahead and get a new iMac. Im gonna get one (the one i have now is old) and if you really prefer Windows, just install Parallels and run Windows, then switch over to Mac for developing.
Wow! Pretty neat. I will definitely look into this. I do have a Mac, just not OS 10.5. But I know others who just bought MacMini's to do iPhone work. Actually you can develop in .NET on a Mac using Mono. Unity uses C# and Mono.
Actually, I wrote an email to Unity a couple of weeks ago asking about this, and they said you will still need a Mac to compile the iPhone version of your application.
Just wanted to say I downloaded the Visual Studio project and installed OpenAL and it works GREAT! This is fantastic! I'm very impressed. If you plan on doing this, keep in mind you will need to be sure you have your Include and Linker input directories correct. I only got as far as compiling and looking over the code a little bit. It looks like there is code to handle menus, but this example does not use it.