Microsoft has create an online tool (or studio) that allows you to create a Windows Phone app easily. Like a Wizard, you follow the 4 steps and in no time, you will be able to download the app to your Windows Phone.
The app is free to use. After creating the app, users can either download it to their phones or upload to Windows Marketplace (needs developer license). Here is a video to show you how.
For first time user, you will need to request an invitation code. The steps are very simple.
You can go to Nokia Conversation where you can read the step-by-step information.