You need to go into your bios by hitting Esc, del, or F2, and sometimes F10 I think to disable PXE boot from the being the first boot device and putting your hard drive as the first boot device.
You do this as the computer is first starting up before you see it trying to boot to PXE (with is a network boot).
PXE is used in the corporate world to re-image computers and manage them and such. It is not needed for home users.