Don't worry, you just appear to have accidentally ended up in Download mode. This is the mechanism for installing third party ROMs from a computer. It can indeed knacker your phone if you install a dodgy ROM but what you did will be completely harmless.
If you turn off your phone and then press Vol - and the Power button at the same time until it starts to boot, you can reproduce this.
It's harmless (although what possessed you to select Install when you didn't know what was happening I don't know) unless you are actually connected to a computer using eg Odin, which you are hardly likely to do by accident.