Hello Romain,
This is strange that the USB connection is often lost. Could you please double check the board is correctly configured (e.g. J4 needs to be shorted)
Anyway if you want to connect via Ethernet interface you should first configure Cyclone MAX directly on display or via ConfigureIP.exe utility by Pemicro. Now if the IP, Subnet mask and Default Gateway is configured properly to work in your LAN you can try to run debug in CodeWarrior.
Just specify the Cyclone MAX IP address into "Specify IP" box. Keep Network Card option unchecked. This option is applicable only if there is more then one network card. This IP address indicates which network card should be used during communication.
See below the screenshot of my configuration. It's for Cyclone PRO but it should work the same way for Cyclone MAX.

Hope it helps.
Stan