When the prompt tells you to enter DFU mode, and you connect the atv to your computer… Does it enter the DFU help / countdown instructions?
I had the same problems when I used pwnage tool to jailbreak 4.0 firmware. But I found out I was using an inadequate micro usb cable, it was never even recognized by pwnage tool. I realized the cable was for charging not a data cable… So I swapped out the micro USB cable with my psp mini USB cable and just attached a mini USB to micro USB adapter. It worked on the first try with the psp data cable. So, try to use a different cable… Hope this helps. G’ luck!