Please close thread…
Try “Tethered Boot”
Yes, that is what I meant, there are only two buttons, Create IPSW and Boot Tethered. Since I have 5.3, it will not work on “Create IPSW” since it will not work Untethered. So I select “Boot Tethered” option. It goes thru all the stages and finally says something like “Tether succesfull. It is now ok to disconect USB”… Then I fire it up and it is not jailbroken. 
Of course… I understand… I finish the “Boot Tethered” option, then it says its safe to remove the USB. So I remove the USB and plug my HDMI cable… Then it goes into the main screen and no FC logo…
I am having the same problem. All seems successful until I plug in HDMI and no FC logo.
What do you mean by “firing it up”?
A tethered jailbreak means the device needs to be booted while plugged into a power outlet. If you ever unplug or lose power to the device then it needs to be booted again.