Here is some additional text for the newbies
To get into recover,
hold vol + and - along with power button for a few seconds and then let go all of them.
After getting into recovery you will get a red triangle with android laying down.
Press vol + and -
You will then get a menu. Select the option to apply zip from sd card and then proceed
After following that step, there is some set of messages and the phone reboots.
It goes back to recovery and you see the same red triangle.
Now, hold vol - and just press power button once.
You are now in new version of recovery.
Again from this menu, select option to apply zip file and select the "Blur.... .zip."
It will start the installation again after few seconds of qu 1/1 -- Install /sdcard message
After a while, you will find the phone getting almost stuck at "Patching system files.."
It takes over 5 minutes...
Finally you get a menu after installation completes. You have to choose the reboot option.
After reboot, the "bootloader unlocked" warning disappeared for me. So, I am not sure what happened to the bootloader lock.