I have got it working now.

My pmax was configured to boot (Ultrix) from its disk, so I have
used ctrl+alt+return to get a promt to boot from. Finally I set
'setenv boot' to tftp booting (I have planned to do that before, 
but I only have a french manual... so I didn't know how to do it) 
and now it boots correctly!

   /Krister