I recommend using the CodeWarrior for ColdFire current version 7.0 build 15 (please go to your CodeWarrior menu, choose Help->About...->Installed Products for checking your CodeWarrior version).
When the cable is plugged in, the operating system should indicate that it has found a driver for the attached "P&E USB Device". Follow the instructions in the "Found New Hardware Wizard" dialog for having windows automatically install the driver.
If you connected the Multilink interface prior to installing the drivers, Windows will not have been able to find the appropriate driver and may have disabled the device. If you unplug and re-plug in the device, Windows will automatically disable it even if you have installed the drivers.
To force Windows to try and load the driver again, perform the following steps while the USB ColdFire Multilink interface is plugged into the computer:
1.) Open the Control Panel (Start Button->Settings->Control Panel)
2.) Double Click the "System" Icon
3.) Select the "Hardware" tab
4.) Click the "Device Manager" Button
5.) The "P&E ColdFire Multilink" device will be shown with an exclamation mark next to it. Double click this device.
6.) Click the "Reinstall Driver…" button and follow the dialog instructions for having Windows automatically install the driver.
I hope this helps.