download the emulator first, and untar it. Also download an image for the 5206 from the uClinux download page, and ungzip it. Then cd into coldfire-0.1.5 and:

./configure
make

Run the emulator:
./coldfire

Connect 2 telnet clients to it (one for each serial ports the coldfire supports):
telnet localhost 5206
telnet localhost 5207

Go back to the emulator window and download the uClinux binary:
dBUG> dl /path/to/image-an5206-big-20000706.bin

Start it up:
dBUG> go 10000

Watch serial port 1 (telnet localhost 5206) for output. It will hang on calibrating the delay loop for a while.. that's normal.. don't panic. run with:
./coldfire --timerhack
to speed up the timer.