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A video showing you how to get out of recovery mode (the connect to iTunes screen). Make sure your not in dfu mode by checking your devices screen. If it has a connect to iTunes image, then it`s in recovery mode. If it has a blank screen, it`s in dfu mode which is much easier to get out of. To get out of dfu mode, simply hold down the home and power button at the same time until you see the apple logo.
Source link: http://www.youtube.com/watch?v=d4JwvYjHCNM