I've seen that message tons of times now recently in a lot of PC's that have been brought in at where I work. Do this:
Boot into the BIOS, and go to your boot settings. Find something about Intel Boot Agent, or Boot From LAN, and DISABLE that. Then set your boot priority to w/e you want (cd-rom, FDD, HDD, w/e), but make sure that Boot from LAN or whatever it may be called (I can't remember for sure) is DISABLED. What it's trying to do, is boot from the network.
Also make sure your HDD is set to the right setting (i.e. slave, master, cable select), and make sure the data/power cable is tightly in.