Here is a site that suggest that it might be a NIC issue:
pxe_e39_tftp_cannot_read_from_connection
SYMPTOM
When being started, the PXE client comes up with the PXE copyright message and completes the DHCP phase, but then displays:
PXE-E39: TFTP cannot read from connection
Depending on the PXE client's system setup boot device list configuration, the PC then either stops or tries to boot from the next boot device in the system setup boot device list.
CAUSE
The "PXE-E39" error indicates that the PXE client encountered a hardware error when trying to send the TFTP acknowledge packet. Note the difference between the "PXE-E39: TFTP cannot read from connection" and the "PXE-E35: TFTP read timeout" error messages. Whereas the "PXE-E35" error signals that the PXE client timed out while waiting for a TFTP reply packet from the TFTP server, the "PXE-E39" error indicates that the PXE client was not able to send the TFTP acknowledge packet in the first place.
RESOLUTION
Check if the network adapter is properly inserted and the network cable properly attached. If this doesn't help, try to replace the network adapter and/or cable. For Lan-On_Board systems, try to insert a separate PXE-enabled network adapter. Also, you might want to update the system BIOS and/or PXE code.
Hope this helps.