grub2pxe dropping into non-functional rescue mode

[Lars Nooden]

I've used grub2 on the current alpha version of i386 ubuntu 9.10 to
create pxe files according with these steps, from:
http://grub.enbug.org/PXEBOOT :

    grub-mkimage --output=core.img --prefix="(pxe)/boot/grub" pxe pxecmd
    cat pxeboot.img core.img > grub2pxe

I've copied grub2pxe to the tftp directory along with *.mod, fs.lst and
command.lst

The DHCP server is set to send grub2pxe as the pxe file.  I get the
following errors during the pxe boot process:

        Intel UNDI, PXE-2.0 (build 082)
        Copyright (C) 1997,1998,1999  Intel Corporation
        VIA Rhine III Management Adapter v2.43 (2005/12/15)

        CLIENT MAC ADDR: 00 00 24 CB A9 24
        CLIENT IP: 10.2.200.33  MASK: 255.255.255.0  DHCP IP: 10.2.200.1
        GATEWAY IP: 10.2.200.1
        error: open fails
        grub rescue> help
        Unknown command `help'
        Try `help' for usage
        grub rescue> reboot
        Unknown command `reboot'
        Try `help' for usage
        grub rescue>

Grub2pxe appears to get served.  The installation target is also i386.
What is missing?

Regards
-Lars