It may be worth adding the file names to the wiki to avoid any confusion?
Press 8 to Load BL2 via TFTP and flash it. openwrt-mediatek-filogic-zyxel_wx5600-t0-ubootmod-preloader.bin
Press 7 to Load BL31+U-Boot via TFTP and flash it. openwrt-mediatek-filogic-zyxel_wx5600-t0-ubootmod-bl31-uboot.fip
Press 6 to Load recovery image via TFTP and flash it. openwrt-mediatek-filogic-zyxel_wx5600-t0-ubootmod-initramfs-recovery.itb
Press 5 to Load production image via TFTP and flash it. openwrt-mediatek-filogic-zyxel_wx5600-t0-ubootmod-squashfs-sysupgrade.itb
Press 9 to reboot the device and you'll see OpenWRT.
Sorry for the noise. Now that I've gone through the process of flashing a WX5600 everything is clear. Pressing the different numbers automatically loads the correct file using tftp and writes it to flash.