Follow this new and updated guide instead.
The Saudi Arabia iTunes Store is currently limited to iPhone applications. You cannot access features like reviewing podcasts, downloading iTunes U courses and accessing free iTunes Store content. And to create a United States iTunes Store account you will need a US issued credit card.
The following guide (translated from this Arabic guide by Milyani) will help you create a free US iTunes Store account.
1. Enter this website. Rockstar is offering 3 free songs from their latest Grand Theft Auto video game. You will use the coupon code.
2. Click the “get code” button. You will see a coupon code (save it). Click redeem and it will launch iTunes.
3. You will get the sign in window. Click Create Account. Click Continue.
4. Click the checkbox to accept the license agreement and click Continue.
5. Fill in login/password/etc then click Continue.
6. You will get the credit card selection option, choose none.
7. Enter the code that you got in step 2.
9. Now you have a US iTunes Store account. If you want to buy anything then you need to purchase an iTunes Gift Card.
Update: I was told that you no longer need to redeem a card to create an account. I will test it later.