Do I have to pay an annual fee, simply to test/deploy my software on my own phone?

I cant see any way 开发者_开发百科to get around this...

If you are a student, no. You can use DreamSpark. Otherwise, you have to be a registered developer to unlock the phone, which means paying the $99 fee.

Yes you are required to have a developer registration. Here is a good detailed walkthrough on how to do it - assuming you have paid the fee. It is very similar to how you have to pay the annual fee to deploy to an iOS device also.

Yes, that's the only way.

You can use Chevron WP7 to unlock your device to install applications that aren't on the Marketplace, like self-made apps. http://www.chevronwp7.com/