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To create a bootable floppy, type
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    cat /usr/share/gpxe/gpxe.dsk > /dev/fd0
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where /dev/fd0 is your floppy drive.  This will erase any
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data already on the disk.
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To create a bootable USB key, type
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    cat /usr/share/gpxe/gpxe.usb > /dev/sdX
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where /dev/sdX is your USB key, and is *not* a real hard
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disk on your system.  This will erase any data already on
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the USB key.
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To create a bootable CD-ROM, burn the ISO image
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/usr/share/gpxe/gpxe.iso to a blank CD-ROM.
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http://www.etherboot.org/wiki/pxechaining describes how to chain boot
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from PXE into gPXE using /usr/share/gpxe/undionly.kpxe.