CWM (Clockworkmod) Recovery Mode:
After flashing a CWM kernel (like CF-Root), you enter recovery with the key combination of Vol Up + Home + Power
CWM recovery is where you flash ROMs, and other zip files. Use the volume keys to navigate, and the home key to select.
Stock (3e) Recovery (not much use):
Entered with the key combination of Vol Up + Home + Power. Not readily accessible if using a CWM kernel like CF-Root
This is the default Android recovery image. It is of little use other than wiping the data partition via factory reset. If you have this, you are NOT ready to start flashing custom ROMs, and will get various errors until you have recovery showing like in the first picture.
Download mode (for use with ODIN/Heimdall):
Accessible on all phones, regardless of kernel via Vol Down + Home + Power
This is where you flash tar or tar.md5 files from ODIN on your PC.
Don't mix up these different modes. Each has a different purpose. So now you know what each mode is, and how to get to it.