JJ
Take a look at this diagram or the PXE process (from the Microsoft point of view) as it may shed some light on where the problem is for you.
http://technet.microsoft.com/en-us/library/cc725614(d=printer,v=ws.10).aspx
OH - and here is Intels "Official" guide to PXE.
http://download.intel.com/design/archives/wfm/downloads/pxespec.pdf