To get out of DFU mode, just hold power and home until you see the apple appear (standard reboot).
I can't understand why people are having problems with purplera1n. It's the easiest and fastest jailbreak ever.
1. Connect phone to computer (no need for iTunes to be open)
2. Run app and hit "make it ra1n"
3. Wait while phone restarts (purplera1n site pic will appear on phone)
4. Once rebooted and back to your standard start screen, locate the newly installed "Freeze" white icon on springboard (you may have to scroll to the last page) and hit it.
5. Hit where it says "install cydia"
6. When it says "Finished", reboot the phone again and you're done.
If updating from version 1 - 2 or even 2a (latest win version), you can just install straight over version 1 and you won't have to reinstall cydia either.
Now come on Saurik....give us a fix for Winterboard...........PWEEEEEEEEEAAAASSSSSSEEEEE !!!!!!