Hello,
that might depend a little bit on the firmware you have loaded on the board. Usually the FRDM boards ship with an MSD (Mass Storage Device) bootloader, so you can copy S19 files to it, and it will program it.
For debugging you need to switch the firmware to the DebugApp.
OpenSDA on the Freedom KL25Z Board
gives an overview. I recommend that you look at the new P&E firmware (New P&E OpenSDA Firmware v114) which comes with a new bootloader, and has the debug app and MSD app combined. But you can use other firmware too (like from Segger or USBDM).
The reference site hosts as well tutorials and code examples around the FRDM board.
I hope this helps as a starter.