How to make an iphone application?

Using the iPhone SDK. Please take some time to visit the stickies and guides at the top of this very forum as well as drop by the iPhone Dev Center to educate yourself.

No, there are easily tens of thousands of independent developers creating their own apps.

Apple's involvement in the development process is probably much more limited than I suspect you are wanting. They will provide some minor technical support as part of the iPhone Developer Program (2 incidents per year) and they will approve or reject your submission before it is distributed on the App Store. They won't be a development partner or do any of the coding based on your idea, however.