Can not enter dfu mode with redsn0w while plugged in

I am having a odd problem with a iphone 3G running 4.0. Whenever I try to enter dfu mode while the phone is off and plugged in it just boots as normal but while the phone is unplugged the screen goes blank as it should. I have tried every method a billion times and am running out of ideas. No searching has turned up a fix.

 

Tried, I'm curious what would stop it from happening whole plugged in. Also, during the instructions in redsn0w it says to have the phone off to put it into dfu mode, is this necessary or just one way?