Hi Leo Wu,
If you want to program MCU it must be connected in real application on board. This means it must be designed whole application schematic including clock source, local power source and other interfaces including 6-pin BDM interface. This interface is used for load the software code eighter through BDM Multilink or Cyclone interface.
As first I suggest you to use the BDM Multilink together with CodeWarrior IDE on PC. If it works then load the application software into Cyclone tool and try to program MCU with Cyclone without PC.
In case the BDM Multilink will work fine and Cyclone not, then please ask PE Micro (http://www.pemicro.com/support/index.cfm) for support.
I think it can help you to solve this issue.
Best Regards,
Stano.