Yup, you need a tethered boot. Put your device in DFU mode (hold the power and home button down for 10 seconds, then let go of the power button and hold the home button until your device is recognized. Then open Redsn0w, select your firmware and select boot tethered. After that, let Redsn0w do its thing.
This will happen every time you turn off your device, it is a consequence of being tethered.