No Operating System Found

I'm trying create a new Windows 2008 R2 Server.  I have mu_hpc_2008_rxwith_with_pack_3_x.iso mounted in the cd rom of the VM i'm trying to create.  I run through the wizard and its finds the OS but after I create my hard drive and configure my memory I get  Exiting Intel PXE ROM, Operating System Not Found.

Any ideas would be appreciated.

Thanks

P.S.

The boot device is the rom and it is enabled.