Still not working. Same result... This is the steps I did.
1. Press hold reset button and plug in USB cable
2. board powers up with green LED and shows up as BOOTLOADER on my PC
3. drag and drop file MSD-DEBUG-FRDM-KL26Z_Pemicro_v114.SDA to root directory of BOOTLOADER drive.
4. unplug USB cable, wait couple seconds then reconnect USB cable.
result
board doesn't seem to power up, i.e. no green LED
device manager doesn't show any new device...