Hi Yonggon,
A couple of things could be happening. If using the GPIO example for a TWR-K60N512:
1) Make sure you select the "Int Flash Debug" target on the project before doing the compile. By default the projects use the RAM target.
2) After compiling, look at \mqx\examples\gpio\cw10\gpio_twrk60n512\Int Flash Debug and you should see .afx and .S19 files. As a sanity check, try flashing that file.
3) Make sure you select the gpio_twrk60n512_Int_Flash_Debug_PEOSJTAG debug target.
4) In that target, go to the "Debugger" tab, and under the "Debug" sub-tab, there is a "Program Execution" selection box. Make sure "Stop on startup at:" is selected, but change the radio dial to "Program Entry Point". This will let you step through the code from the very beginning, just in case you actually are flashing the part, but it's crashing at some point before it gets to the main task.
5) After flashing but while the debugger is still connected, make sure there actually is code in flash. Look at 0x4 and see if it looks like a valid starting address (as Norm mentioned).
Hopefully one of those suggestions help!
-Anthony