There are basically three ways of getting Linux/Alpha booted, depending on what firmware you're using. The preferred method of booting used to be to install MILO into the flash ROM. However, since all development on AlphaBIOS has stopped and there are only a few people left working on MILO, the preferred way is now via SRM console.
Installation of and booting with MILO is described in the the MILO Howto. Be sure to use a recent MILO! Booting with SRM is described in the SRM Howto.