When the processor comes out of reset, it has all its internal registers cleared (or set to defaut after-reset values). As a part on initial boot process, the boot loader initializes processor registers with specific (non-default) values. For example, if you wish to access external memory, you have to configure processor' onchip memory controller with settings, specific to your external memory (memory starting address, size, row/column size, cas latency end etc). This is usually done by bootloader.
However, in case when the procesor is running under debugger control, the debuger if able to bring up the processor even if there is no boot loader in processor onboard flash. In this case, all necessary register initialization steps are performed by debugger itself, using the information from special "target initializatin file", specified in debugger connection settings. For our boards, supported by CodeWarrior, we distribute target initialization files as a part of CodeWarrior, in CodeWarrior installation folder.