For running the example script you will probably need to elevate your shell (I keep forgetting that I have a pre-emptive work-around in place for this). Just hold down the Ctrl + Shift Keys and then click on the shortcut for the ISE. Then run the script in that window.

I'll work on getting a Summary for the Execution Policies however your best/most complete answer is in the Help files. June does a good job with those.