You cannot install third-party programs on iPhone.

According to Apple's presentation, it might have seemed that the iPhone will be controlled by a full version of OS X, on which you can install any third-party software. As it turned out , you won’t be able to install third-party software on the iPhone, alas. OS X will be greatly reduced, and widgets, whatever one may say, are not pulled to the title of full-fledged software.

Confirmation of this from Engadget.

Information received in LJ turchinsky