My iPhone 4 is locked with the apple logo displayed it will not turn off - any ideas please

My iPhon4 is screen locked and will not turn off for me to start over. I have connected to iTunes and held down the button but to no effect. It does appear to be connected to I tunes because IT IS LISTING MY MUSIC. any ideas please

Try Recovery Mode... http://support.apple.com/kb/HT1808
Note you'll lose everything since the last sync, thus the reason to sync often.

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