I was having a terrible time with the jailbraking; stuck in looking for DFU mode or some such (can’t remember exactly).
Anyhoo, after googling I found other folks having the same problems but there was a thread that basically stated that if you have connected your ATV2 to your PC/iMac via a micro USB cable, wherever you got the cable, and started iTunes, if iTunes didn’t recognize your device it was a cable issue. Period.
Based on that information, I searched for a Micro B to USB A cable and found one at Best Buy for $14.99.
Dynex™-3' Micro USB Charge and Sync Cable-DX-C114201
After connecting this cable, iTunes recognized my ATV2, restarted jailbreak and all was a success. I tried all the other things regarding power and keyboard sequences but the final thing that worked was the correct cable.
The cable I was trying to use at first was a WD HD micro cable. I don't think it has the correct pin outs and its probably a proprietary cable.