Well....It was waaaay confusing due to multiple documents saying different things but the upshot is this.
If you are like me and have Win10, you have to start by setting the GroupPolicy setting (using Start+R to run gpedit.msc)
Then set to 'enabled' the following: Computer Configuration \ Administrative Templates \ Windows Components \ Search \ Do not allow locations on removable drives to be added to libraries.
More info here: https://answers.micr...3e-44083a3733f5
IF YOU DO NOT DO THIS THE BOOTLOADER WILL NOT RUN and you will end up with a dark board that seems to be bricked. I had to disconnect the Freescale board, reboot Windows and then hold reset and reconnect the USB cable to get back to a functioning device.
Once you have set the GroupPolicy, DO NOT Follow the instructions in the Pinscape document., there have apparently been changes in the structure of the included zip files.
First, unzip the main file you get from PEMicro. Once unzipped there is another zip file inside called OpenSDA_Bootloader_Update_App...
Extract that zip. You will get two documents. A BOOTUPDATEAPP_release_notes which has detailed instructions and the BOOTUPDATEAPP_Pemicro_vXXX.SDA Copy the SDA to the BOOTLOADER device that shows up in explorer. Close explorer and use the system tray icon to eject the device.
Disconnect and reconnect the Freescale unit.
Go back into the BOOTLOADER device when it appears in Explorer and click on the SDA_INFO.html document. It will take you to a web page where you can check that the version is what you expect.
Exit the browser and continue to the next step which is using Explorer to drop the MSD-DEBUG-FRDM-KL25Z_vXXX.SDA file onto the BOOTLOADER drive. Close explorer and eject the Freescale using the system tray icon again.
When the device reboots it will no longer show in explorer as BOOTLOADER, but instead as FRDM-KL25Z.
You can again run SDA_INFO if you like to see the updated versions and pick back up in the Pinscape document.
Hope it helps someone get past the initial setup issues.
Another link I found handy which outlines the process:
https://mcuoneclipse...board-firmware/