No, no, no...
There's nothing wrong with it.
The NIC that you put in has a feature that can allow you to boot over the network from a server's hard drive and/or assign your NIC a DHCP IP address BEFORE even booting windows. Normally, you can hit Esc, and it will cancel the looking for the BOOT ROM server.
If you're looking for more info about this Network Boot stuff, you should check out Crouse's article on TechIMO Articles Section about a Linux distro that allows you to boot over the network so that a computer can run the entire OS and apps over the network, giving you a computer without the need for a hard drive in that computer. I believe it was called something like k12ltp or something like that.
Anyway, there's nothing 'wrong' with your NIC, it just has a feature that you haven't seen before.
Dave
EDIT: There may be a BIOS setting to disable the Boot ROM procedure, but I don't know whether that would effect only the Onboard or both Onboard and Add-in.