The instructions for building this demo state that I need only specify THUMB debug or release and hit build, but after compiling I get the following error - "no linker script or memory map specified". What do I need to do?
That is a very old demo!
Rowley does not ship support for all chips with the installation of CrossWorks. Instead you have to install CrossWorks, then use the Tools memnu to install packages for the chips you want to use. I'm guessing you didn't install the STM32 package (that is, from Rowley, not from us).
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