Adding new devices to KDS is a two step process: you need to download and install the Kinetis SDK first.
On
http://www.freescale.com/webapp/sps/site/prod_summary.jsp?code=KINETIS_SDK&nodeId=0152101E8C1EF7&fps...

(use 'All downloads' on the right side)
Once you have it installed, use the KDS/Eclipse updater to add the device support with Help > Install New Software. Point it to
C:\Freescale\KSDK_1.0.0-KL03Z\tools\eclipse_update\
and update Eclipse from the zip file there.
Then you have KL03Z support listed:
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I hope this helps,
Erich