Unfortuantely PXE boot will not work with a crossover cable.
I thought it would be great to demonstrate the PXE boot function next week during my Cosmos session. Unfortunately, it will not work. To use PXE, you must be connected to a hub or switch.
When the PXE server runs, it needs to bind to an interface. However since the other computer will be off, Windows will not see the cable as being connected and will take the LAN connection offline. This prevents the PXE server from binding to the interface. And since the intent is to boot from the network, the other machine has to be off.
Using a hub or switch will solve this problem, because Windows will see the presence of the hub or switch attached to the ethernet cable and make that network interface available.
Ps. Some motherboards support Wake on Lan and it seems those support PXE using a crossover cable (tested with a Via Rhine Card PXE 2.0).