Are you sure that you checked the
genuine website for the Kenyan High Commission? There is a website called www.embassyhomepage.com which masquerades as the websites of numerous embassies. (If you read the small print, it will tell you that it's an unofficial site but this certainly doesn't leap out at you). This wouldn't matter too much if it wasn't for the fact that much of the information on their website is inaccurate.
This is the
official website:
http://www.kenyahighcommission.net/visas.html
They offer a postal service for visa applications. I suggest that you should use this service as I've heard tales of some
very long queues (taking up many hours) at Kenyan immigration control. A single entry visa will cost you �30. (If you visit Tanzania or Uganda, during the validity of that visa, you can re-enter Kenya without the need for another visa).
Chris