That very well could be...
Do I just open the run window?
This is the section of the walktrough I am on:
III: Flashing a Custom Recovery
Flashing a custom recovery will make your life easier when flashing ROMs in the future.
1. Download this file: Recovery.zip
2. Extract file contents to your \tools\ directory of your Android SDK.
3. Open up a command prompt and go to your tools directory, and execute these commands:
* adb shell mount -o rw,remount /dev/block/mtdblock3 /system
* adb push recovery.img /sdcard
* adb push flash_image /system/bin
* adb shell chmod 755 /system/bin/flash_image
* adb shell flash_image recovery /sdcard/recovery.img
4. Success! You now have a recovery partition installed on your phone. You can access it by running "adb shell reboot recovery" or by powering off your phone, holding "Volume Up + Power On"