I've downloaded RedSn0w and Jailbreaked my iPhone 4 iOS 4.2.1 and for some reason whenever I go to download from Cydia stuff like Winterboard or MyWi. When it tells me to reboot, I reboot it then it just stays on the Apple Screen. for like EVERRR.
I have to keep restoring my iPhone and adding Cydia and jailbreak my iPhone again. Which is very tedious and annoying
when ever you restart your phone you have to have it tethered to redsnow. start redsnow and point to the ipsw file like you were jailbreaking. then on the next screen check the box that says just start tethered. and go from there
Best advice I can give is to read about the jailbreak before you actually do it. What you're describing is normal; see the reply above about what "tethered jailbreak" means.
Short version: when it says reboot, turn off phone, run redsn0w, choose "just boot tethered."