You don't have to on a mac. Upgrade your iPhone to iOS 4.2.6 through iTunes, then try Greenpoison, and make sure you follow the steps exactly as the count down goes for each step.
There are couple threads with this info but I'll repeat it again. Make sure you're using an Apple cable. If you're doing it from work try it from home I had problems that was caused by the firewall. If you are at home and your computer is connected via wireless try plugging the computer directly into the modem until you're done.
Make sure your iPhone screen is off when you start following the greenpois0n instructions. It won't go into DFU mode if your screen is already on when you begin. I got the "failed" message every time before I figured that out. (I'm surprised that step isn't mentioned in the instructions.)
