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The most easy way to start off may be to get a knoppix cd/dvd Most versions from 3.3 to 5.x work. (I can't get 6.7 to work).
You boot a system to the knoppix cd and then wait for desktop. Then start knoppix terminal service. That is a big script that starts nfs, dhcp, tftp and copies a default pxe file. Look online for how to's and then review what knoppix did.
PXE booting is pretty easy ... you'll need a boot server running dhcp and tftp (on my Red Hat based Scientific Linux 6.1 setup I install the dhcp and tftp-server packages). Then grab a copy of the latest syslinux package (you should be able to get it from the package manager as well), which should give you the PXE Linux stuff. Go ahead and copy the necessary PXE Linux files into your TFTP server root directory (/var/lib/tftpboot in my case) along with the kernel and initrd images you want to be able to boot. Then create the necessary configuration files for your hosrs in /var/lib/tftpboot/pxelinux.cfg (the SYSLINUX/PXELINUX documentation explains how to do this) and make sure that the TFTP server is running and accessible from your LAN (i.e. not firewalled off). Then add the next-server and filename directives to your dhcp.conf file (set filename to the PXELINUX boot loader, usually called pxelinux.0 and NOT to the Linux kernel image you want to boot). Then make sure dhcpd is running and you don't have another DHCP server on the network. Then you should be good to go.
This is the 35,000 foot overview of the thing ... it's pretty easy once you've done it a time or two. If you run into trouble, consult the dhcpd.conf man page and the PXELINUX documentation. If those plus Google don't help, please post back here. Good luck!
Actually, I think it is easiest if you first get DHCP up and running. Set up your DHCP server (I recommmend ISC DHCP), which primarily requires editing the dhcpd.conf file, and then restarting the server. You can then simply run the client-side tool, dhclient to test the server. In most installations there is a script in the dhclient-enter-hooks.d directory (find it under /etc), which you can edit to set up for dumping the received server data. That can be useful for debugging, but may not even be necessary if your setup is quite standard. While you're testing the server, you will probably see it's effects at the client side.
Getting the PXE server side right requires a bit more effort, as you will need to exercise it by rebooting the client side, which can be tedious. There are files and directories to get set up right, as well as correctly setting up a tftp server, so it helps if you're confident that the first phase of the process (DHCP) is working.
The link provided by farslayer is a good one, and there are many other that are easy to find.