Open iTunes and connect the iPhone to your Mac.
Press and hold the Home button and the Sleep/Wake button at the same time.
As soon as the screen goes black release the Sleep/Wake button. Continue holding the home button until you iTunes pops up a message telling you that it has detected an iPhone in recovery mode.
The iPhone will look like this:
Apple has introduced a new method to entering Recovery Mode. You can find instructions and a video demonstrating the new method here.