As has already been mentioned, you must have your saved SHSH Blobs to be able to restore a 5.x firmware on the iPhone4.
Now that IOS6 is out with a new baseband, you must also use a custom firmware with the baseband stripped out. For ease you can also stitch in your blobs to completely avoid any chance of a 3194 error because your hosts file is not correct.
You have 2 choices. Most folks on Windows seem to prefer sn0wbreeze, and it work very well. Personally, I use redsn0w on both my Mac and Windows machines. Here is a quick guide to get it done in redsn0w...
Download a copy of 5.1.1 from the relevant link on our firmware thread here -
http://www.iphoneforums.net/forum/i...ple-ios-firmware-download-links-iphone-17213/
Download the latest redsn0w from the iPhone Dev-Team blog for your platform, and run it.
Go to Extras menu > Custom IPSW select the firmware you downloded.
redsn0w will then strip the baseband from it and create a new firmware file in the same folder as the stock 5.1.1 file you used. This custom firmware file will have NO_BB_ in the file name.
Then in Extras > SHSH Blobs > Stitch > IPSW select your new custom firmware.
Next, select "Local" (if your blobs are saved via TinyUmbrella) or "Remote" (if your blobs are saved with Cydia) and let redsn0w stitch the appropriate blobs into the firmware file.
Once this is done you have a signed custom firmware without a baseband which will install on the iPhone4 to which the blobs belong without needing to verify anything with Apple.
Finally, the key to getting this installed is remembering you MUST use pwned DFU mode. Not standard DFU.
Go back to the Extras menu in redsn0w and press "Pwned DFU" and follow that through.
Then you can open iTunes and press option-restore (OSX) or shift-restore (Windows) and select the Custom IPSW with stiched blobs which redsn0w created. The filename will have your blob identifier at the beginning, so make sure you choose the right one.
If all goes well, you should then get 5.1.1 installed onto the iPhone4.
Good luck!