The method explained above is basically for beginners and does not install a custom recovery in your phone, it simply installs a stock recovery with having your phone rooted. Custom recovery allows you to modify in your phone in so many other ways like flashing custom roms, flashing mods etc.
In order to flash a custom recovery after rooting your SGS4 download the following file.
1. Download Odin v3.09 and ClockworkMod Recovery [CWM] v22.214.171.124
2. Extract Odin zip file and you will get Odin3 v3.09.exe along with few other files.
3. Power off your Android device. Wait 5-6 seconds for vibration to confirm complete switch off.
4. Now, put the Galaxy S4 GT-I9500 in Download Mode by pressing and holding down the Home, Volume Down and the Power button together. A warning screen will come up; press Volume Up button to enter Download Mode.
5. Now run Odin3 v3.09.exe (see Step 3) as an Administrator because Admin privileges is required to complete the process smoothly (only applicable Windows Vista and higher).
6. Now connect your device to your PC using USB cable. An “Added!!” massage will appear in Odin’s message box. If you don’t get the same then you should try another USB port (try USB port located in back in your desktop PC). If that too don’t work then you should reinstall the driver. If you successfully see the “Added!!” message in Odin then you are ready to go in next step. You should also see COM port with a number in Yellow if you successfully added your device.
7. Click the AP Button, and select that .tar file that you downloaded earlier. If you are using old Odin then add the file to PDA button.
8. In Odin window, make sure only Auto Reboot and F. Reset Time checkboxes are selected.
9. Double check everything that we mentioned in Step 7 & Step 8 above. Now, once satisfied hit the START button to begin the flashing process.
10. Once flashing completed, your Galaxy S4 GT-I9500 will restart and soon you will see a PASS message with green background in the left-most box at the very top of the Odin. You can now unplug the USB cable to disconnect your device from computer.
Congrats! You just installed latest CWM 126.96.36.199 on Galaxy S4 GT-I9500. To boot into recovery, turn your device off then press and hold Volume Up, Home and Power button for few seconds and soon you will see the CWM 188.8.131.52 screen.