Hi Fermin,
From what I see you need to sort out the connectivity issue first (which at this point is not FreeMASTER related).
First things I would suggest to check:
It is indeed as you guessed - when the target is properly connected you should be able to see on OpenSDA entry in the COM ports list. Another drivers check - you should be able to see an additionally mounted memory device in "My Computer" (it's usually called EVB-S32K148).
Once you sort it out you can try connecting to the board, for this you can check the following video (starting at min 1:15).
Regards,
Iulian