What is recovery mode and why does it want me to restore my iphone?

I was downloading the new software 4.3.5 for my iphone 4 when i think the computer lost internet so it appeared with an error and i tried again but then it said  "Itunes is detecting an iphone in recovery mode" then it wanted me to restore my iphone whitch im scared to do. also it spent quite alot of time on "preparing for update". now all i can get from my iphone is the picture of the cable wanting to be plugged into itunes.
please tell me what recovery mode is and how i got it. and also if there is any way ican get my iphone back with out restoring my iphone. thank you

Leave the phone connected to iTunes and let it boot the phone up again.  iTunes should then try and update the firmware again once it detects the phone.

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