To PXE boot a Microsoft Surface Pro 3 follow these steps:
- Plug in the Microsoft Ethernet Adaptor into the USB port or place the Surface into its docking station
- Power off the Surface – a reboot is not sufficient
- Press and HOLD the Volume DOWN button (on the left side of the tablet)
- Press and HOLD the Power button for FIVE seconds (on the top of the tablet)
- Release the Power button after five seconds but KEEP HOLDING THE VOLUME button until your see PXE start
Solution credit: http://www.urtech.ca