If you have a tethered jailbreak, that means that you have to connect your device to the jailbreaking tool you used (i.e. Redsnow) and boot tethered. All the versions are very similar but there are a couple of differences. If you don't boot tethered, then your device with not be able to function. So here is how to boot your tethered jailbroken device.
Older Version of Redsnow: (like iOS versions 4.1 to 4.3.3)
1. Plug in device.
2. Open Redsnow
3. Click Browse
4. Click Next
5. Click Just Boot Tethered (uncheck other boxes)
6. Click Next.
Beta Version of Redsnow (like iOS versions through 5.0)
1. Plug in device.
2. Open Redsnow
3. Click Extras
4. Click Just Boot.
If you are on iOS 5.0.1 tethered
1. Plug in device.
2. Open Redsnow
3. Click Extras
4. Click Select IPSW
5. Click Just Boot.
If you are unrecognized by Redsnow, put your device into DFU mode. To do this, hold the power (lock) button and home button for 10 seconds, then release the power button but keep holding the home button for another 15 seconds.