It is ok, don't worry! It just means that every time your iphone reboots, whether from installing something from cydia or the battery dying, you'll need to be plugged into the computer so you can run blackrain again. It's annoying but it'll likely be made untethered (hopefully) soon.
No. You install cydia, then download winterboard. At this point it does not matter whether you are connected to your computer or not. After you download and install winterboard, your iphone will reboot, and go into recovery mode. THAT is when you need to plug into your computer and run blackra1n again.