Forget about PXE (Preboot Execution Environment) - it is a form of booting used when you don't have an installed OS, but have the necessary files for booting stored on a network server somewhere.All it can do is trying to boot with PXE
The only reason your BIOS is trying to do that is because it can't find anything on your machine to boot from, which is why I suggested you did the HDD check.
Chris