DHCP an a diskless boot

[Steve & Patti Getzinger <psatg bluemarble net>]

I have DHCP running and assigning the ip but I am getting:

PXE-E32 TFTP open timeout

I am reasonably certain this might be the filename entry. Is there an 
example of a file that works for this. I understand what the man says 
but fail to understand what it means :)

TIA,
Steve