I am trying to configure the PXE Filter script (Start | All Programs | Microsoft Deployment Toolkit | Configure WDS PXE Filter), but when I go to install it I see a red exclamation mark (!) beside the "Install" option.

If I click "Finish" I then get the message "Please fix all errors before continuing".

Contributed By: Cliff Hobbs [MVP ConfigMgr]
The reason you are seeing this is because the PXE Filter has already been installed and configured on this server (if you hover your mouse over the red exclamation mark you will see the message "PXE filter provider is already installed").

To exit this screen just click "Cancel" and then click "Yes" on the confirmation dialog box.  Not the most intuitive way of handling this situation I agree, but at least you now know the cause and solution.