This error usually indicates that you have tried to open a URI using a protocol that is not supported by your current build of iPXE. For example, if you try to boot from an ftp:// URI in an iPXE build without DOWNLOAD_PROTO_FTP enabled, then you will see this error.

You can see the list of supported protocols in the iPXE startup banner. For example, if the banner shows

  iPXE -- Open Source Network Boot Firmware -- http://ipxe.org
  Features: HTTP iSCSI DNS TFTP AoE bzImage COMBOOT ELF MBOOT PXE PXEXT

then you can see that FTP is not supported by this build. (Supported protocols for this build include HTTP, iSCSI, and TFTP, but not FTP.)

Things to try: