Hi,
First, please download P&E debugger driver and install it. Please get the driver from here.
OpenSDA Serial and Debug Adapter | NXP
Second, please download KL25 SDK from https://mcuxpresso.nxp.com/en/select
The SDK package has drivers for KL25, more important, has a lot of examples build in IAR, MCUXpresso and KEIL.
After you download and extract, you can find these KEIL demos in FRDM-KL25Z\boards\frdmkl25z.
<Getting Started with MCUXpresso SDK.pdf> is a important guide for you. You can see it in FRDM-KL25Zdocs.
Regards,
Jing