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It looks like that example design is booting from external CFI flash. Note that the reset vector is defined to be in the external flash. You still need some way to get boot code into the HPS.
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What does the boot vector have to do with the SGDMA/Ethernet subsystem? I believe this thread is dealing with how to connect the TSE MAC to the HPS, so I'm only referencing the Ethernet sub-system portion of the
http://www.altera.com/support/examples/nios2/exm-net-std-de.html?gsa_pos=1&wt.oss_r=1&wt.oss=niosii-ethernet-standard-5cgtfd9e reference.