Yup, then they flashed the kernel into nvram. To boot from a network address, you have to have enough driver loaded alreadyfor the ethernet card and network file system mount functionality to work. For a Beowulf, you have to compile this stuff directly into the kernel, and not use loadable modules.
No, this was something separate in the MSI BIOS. It wasn't even documented in the manual. I also remember that it was configured that way by default and I had to change it to boot from the CD. That particular BIOS can apparently support the network interface.
From what I've been able to find, the subsequent steps are to get an IP address from a DHCP server, then download the kernel from a TFTP server. From there, it's clear sailing.