No, your phone does not need to be unlocked to install mango. I installed it before I got my Dev account setup fine.
ok, ok...heh
If you setup a "App Hub" account, your phone will not be unlocked till you are verified.
You need to submit a dummy app then the verification process will start, just don't upload it, you have to go through the 15 steps to "submit" the app.
After you submit your dummy app, in about 24-48 hours you will get a verify email, once you enter that info, you will be able to unlock your phone. Once you are verified, you will use the "Windows Phone Developer Registration" app that came with the dev tools to unlock your phone (need to sign in with your live account)
A few min in Bing should get you the info on what you need here. There is a website that will make a XAP file out of a webpage(I used it, I forgot the link tho), use that to create a XAP to submit.
Any questions on this, PM me, I went through the same thing, even submitted a ticket before I found out what I needed to do, also don't forget to hit thanks
