Beside of the settings in the Debugger Tab (which depends on the used debug interface (P&E, Segger, OpenOCD, see note1 below), you need to specify in the 'Main' tab two things:
The name of the binary (e.g. elf file)
A project name (see note2 below)
there is a current issue in KDS v1.0.1beta that P&E is not listed as Debugging Connection. This is expected to be fixed in KDS V1.1 (GA).
While the project is not really necessary, there is the issue in KDS v1.0.1beta that without a project name, you will get an error. So if you start with a new/empty workspace, you need to create a 'dummy' project first and to provide this as a project name.