If it's a sim lock you're talking about, contact the carrier for the original SIM. They will be able to help you with it. If it's a lock to get into the phone, we're not going to help you with that here.
PXE is booting from the network, since you probably haven't got something that can offer a bootable environment running on the network, you get this "error".
You should try installing it from a regular Windows 7 disk, not the backup disks.
You'll have to check the temps while playing the games. Usually laptop components can take some more heat than desktop components.
Besides, modern components will either clock themselves down or turn off when getting too hot.