You're right, the Quick Start does not describe how to connect with P&E's ColdFire Multilink USB tool. But the CodeWarrior tools do support it. I've suggested to my colleagues that we document USB connections better.
Which model & version of the P&E Multilink are you using?
Without knowing more information, the tech support staff suggests that the problem might be as simple as an incompatible USB cable. Have you tried a different cable?
I hope this helps. Let me know if you need more help.
Marc.