Phones often let the user run programs with limited privileges. A "safety-box" where the user don't have access rights to remove important programs. The term "jail-broken" is when a user finds a way to get around this safety-box and get full access rights to their device. Some devices have very very strict sandboxes for the owner. Some devices already from the start allows the users a lot of access.

If looking at a Nokia N900 insteaed, you can find a complete set of development tools for free on:
http://maemo.org/
The difference here is that it is a site payed for by Nokia since Nokia wants people to develop programs for the device.