How to Jailbreak 5.1.1 tethered on iPhone 4, 3GS, iPad, iPod Touch 3G, 4G With Redsn0w 0.9.10b8b 
1) Download the latest version of(iTunes (10.6.1)
2) Open iTunes, and back up your device.
3) Upgrade to iOS 5.1.1
[Download links]
4)
Download the latest version of Redsn0w
5) Start Redsn0w, select “Extras” then “Select iPSW” and point it to iOS 5.1.1
6)“Install Cydia”. Follow the steps to place your device into DFU mode.
7) Now we move on to the process where you will need to repeat every time your device is switched off. This is called tethered boot.Launch Redsn0w, select “Extras”, then”Just Boot” in order to boot your device tethered.
Just wait for a bit before you start jailbreaking you iDevice and read on the following notes to make sure you do it right. We’ll first direct you to a couple of notes that you need to know before you start the jailbreak process.