What target are you using?
If you are using Power Architecture,You can use the Import a CodeWarrior Executable file wizard to debug an externally built executable file, this contains four tasks:
• Import an Executable File
• Edit the Launch Configuration
• Specify the Source Lookup Path
• Debug Executable File
See Section 5.17 Debugging Externally Built Executable Files in document Targeting_PA_Processors.pdf in CodeWarrior Help/PDF for details.