Today is the first time I looked at this particular forum (Windows & Meego), otherwise I would have replied much sooner.
Hopefully, you've manage to solve your various problems. But, just in case...
1. The main installation installs all the stuff for all the platforms at one time on your Windows box. But, obviously, some of it needs to be copied to other devices.
There are good guides for doing the setups for non-windows Tier1 development at:
http://www.appgamekit.com/documentation/guides.html
To produce something for Apple devices (Mac or iOS) you will need a Mac computer, Xcode and an Apple Developer's License ($99 year, each, for Mac or iOS). I've done a sorta rework of the iOS guide to account for the differences between Xcode 3 and Xcode 4 (the one you would get from Apple at this time).
2. More detail about what level (Tier1 or Tier2) you are working in and a sample of the test program code would be needed to help with the run error problem.
I can't help with broadcast to player issues, I use my Mac Mini to test on my iPad and iPod. I was able to do a simultaneous broadcast and run from my PC, but never got just the broadcast to work.
Cheers,
Ancient Lady