When your computer turns on, it needs instructions. We usually call those instructions an Operating System. For example, if you’re running windows, then Windows will tell your computer what color to make the desktop, and what options to put in the start menu, etc etc etc.
Usually, those instructions are on your HDD. Sometimes, especially when you’re building a new computer, those instructions might be on an optical disk (CD, DVD) or a thumb drive.
PXE just means that the instructions are on a whole separate computer, and your computer receives them through the network.
Booting to PXE means that you’re not using the Operating System on your HDD, which is convenient if you want to completely delete and/or reinstall the operating system on your HDD. ( or if you don’t have an operating system on your HDD yet.)
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