To add, the Download Mode which you have entered is not some " secret " thing or mistake, its in there for a reason. For the general public who isn't interested in rooting or flashing their phone it has no value. Honestly I don't know why its still in there seeing how Samsung has moved further and further away from encouraging anyone to root or flash their devices.
Basically its a mode which used in conjunction with an application called " Odin " it allows you to flash either official or unofficial approved software packages to root your device, restore your device to a specified version of Android OS and even flash different radio software.
As Golfdriver said, your not connected to you computer and doing any of the above mentioned so no harm is done. Do as he instructed to exit the Download Mode.