Add you .lcf file to the Project window (where all the file names are) using Project > Add files... Once your .lcf file appears in the Project window, find the column with the little red-and-white bullseye. This is the Target column. Is it all starting to make sense now? Next, click in this column, on the row where your .lcf file appears. You should have a black dot appear, which indicates that CodeWarrior recognizes the file as part of the build process for this target. If there are other .lcf files in there, click in their respective target columns to make the black dot go away. That way, you won't confuse the linker with multiple appearances of a linker file.
Sorry if these instructions seem a little basic, but you appeared to need an explict description.
---Tom