Sometimes clockwork doesn't "stick". What you may need to do is take out the battery, restart the phone, go back into ROM Manager and hit flash clockworkmod recovery. Take out the battery, reboot the phone, go back into ROM Manager again and flash CWM again, and then hit reboot into recovery. Once into recovery you should see green words and it should say ClockWorkMod Recovery 2.5.1.2 at the bottom. I saw someone else had a problem with flashing CWM and I did as well and this worked for me. Not sure why you have to flash it more than once but once you do it the second time it should work. If not then its over my head and hopefully someone else can help you out.
I'm also assuming that you're saying that you can't get into recovery mode and not the fact that you turned the phone off and then were just trying to reboot it.