I have been trying to setup a PXE boot server using this guide.

http://linux-sxs.org/internet_serving/pxeboot.html

I have completed the install guide up to step 7 where it wants me to "create a number of zero size files (use touch)" this is where I am stuck I know touch is a command that can create files but I'm not sure exactly what to do with it. Could someone explain into detail what to do for this step.

I suppose that step is incorrect, they should be symlinks to 'default'/or other valid config file in that dir, not just empty files. For your reference, 'touch sample.file.ext' will just create 'sample.file.ext' with no contents(zero-length).
Creating such files as specified in step 7 is required when you wish to send specific boot menu to specific NIC. If you only need same menu for all computers/even one computer, there is no need to do that. I'm not really sure about that step being correct, but for most cases you'll be fine with single 'default' config.
Go to step 8 and create 'default' config.

See this for an example.

http://en.wikipedia.org/wiki/Touch_%28Unix%29

# touch myfile.txt