I believe that PXE is related to performing a Network Boot. Have you changed the order of boot devices, or enabled Network boot in the BIOS?
I guess it may be trying to boot off the network if the HDD, CD and FDD are all unobtainable.
In other words, the fact that that it is trying to boot from the network may be a roundabout way of telling you that your HD is f***ed!!
SD