PXE is a way to boot off of a network.
If you put a new HD in, it will not boot unless you re-install windows. This is because when windows installs it sets it up specifically for certain hardware, and if that all changes the computer doesn't know how to load it.
You need to go into the BIOS make sure the HD is set as the first boot device. If that still doesn't work you will need to put a Windows CD in and reinstall windows. If you do that it will erase everything on the HD, so make sure you don't need any of the files.