On my first boot (memory and Core 2 installed; no peripherals hooked up), I get this message:
Intel Boot Agent GE V1.3.22
Initializing and establishing link
PXE - E61: Media test failure, check cable
PXE - M0F: Exiting Intel Boot Agent
Shouldn't I be able to get to the CMOS setup utility without having the hard drive installed?
Yes you shoudl i would think it is just that your screen isn't coming on quick enough. So you see the intel splash screen?
As soon as you press the power on start pressing F2 untill teh screen comes on you should then be in BIOS.