This issue can occur when the DHCP server has the following Dynamic Host Configuration Protocol (DHCP) options set:
#60 = Client Identifier (set to "PXEClient")
#66 = Boot Server Host Name
#67 = BootFile Name
When the initial DHCP offer from the DHCP server contains these boot options, an attempt is made to connect to port 4011 on the DHCP server. This offer fails if the PXE server is on another computer.
Is your PXE server in the routers IP helper?
Taken from :
http://support.microsoft.com/kb/259670