I think you are right skreis, you are "doing something completely wrong". Least ways I have never seen a blade come off that way. Put that nut back on before things get lost and confusing. Then try blocking the blade with a block of wood so it won't spin and remove the bolt holding it on.
Thanks, bigtiller for the advice.. I was screwing around some more with it last evening and figured out that I needed to block the blade with a piece of wood. Came back to follow up for someone else's benefit. I blame my extra-strength stupid pills.