Option 66 holds the TFTP address, while option 67 holds the path and name of a NBP (Network Boot Program) to be retrieved from the TFTP server, loaded in memory and run.
The clients inform its pre-os runtime on their DHCP transaction using DHCP option 93
DHCP Option 93 Client's pre-OS runtime
This way the DHCP server can provide specific NBPs depending on the client's pre-OS runtime.
Once the NBP is running there's is a sequence of
chainloading (retrieving by TFTP and running) of other components like i.e. pxeboot.n12 and then
bootmgr.exe (for BIOS clients) or just
bootmgfw.efi (for UEFI clients).
bootmgr.exe/bootmgfw.efi will retrieve a bcd that contains (among other things) a "menu" with all the WIM images available for booting, when the user selects an entry the bootmgr.exe/bootmgfw.efi will TFTP transfer, load in memory, and pass control to the corresponding WIM image.
This is how PXE (WDS/MDT/SCCM) works on MS platforms.