Hi Sudhakar,
the way in which you launch the debug session is the same as any project, are you able to debug any other project?.
For the example you are using you need first to change some settings and rebuild libraries. I am able to debug this example in KDS3.0 and KSDK1.2 without problems. You can find the readme file in the following path:
C:\Freescale\KSDK_1.2.0\middleware\tcpip\rtcs\examples\eth_to_serial
If you have questions let me know.
Carlos