Thanks for all the help. In the meantime i have a partial result, using these steps:
1) Using the Pemicro download (Hui_Ma answer) i updated the KL25Z firmware to version 1.08 using the BOOTUPDATEAPP.SDA. It did not work right away by drag and drop, but only by cut and paste. One needs to check the SDA_INFO.HTM in Bootloader mode.
2) Then i used the USBDM_OpenSDA.sx (DerekLau answer) to convert the FRDM board into a USBDM device. It enumerated as unknown device.
3) Then i used the Win64 driver package from the USBDM site to make the device enumerate as a USBDM (Erich Styger answer). The USB_CDC serial connection got lost, so this applies more to a FRDM-KL25Z, were the DUT has its own USB port. By the way there is a very nice tutorial of Erich Styger on how to implement a CDC connection using Freescale components and ProcessorExpert. I made it work within 3 or 4 hours, including the LEDs.
Then i got stuck once more trying to set up the GDI debugging in Codewarrior (Erich Styger second answer). I found a description on how to do it, but it appeared outdated. There was another document from Keil that mentioned a CMSIS_DAP.s19, until now i did not have time to follow that. I am wondering if someone is successfully using another development tool for Kinetis KL15 development, i mean other than Pemicro.