From the compiler, you can hit F9 to start running the program from within the debugger after compiling it to the board.
The prototype board doesn't have a debugging connector -- you use the 10-pin programming header on the RCM3209 to program the core module and debug it. You can switch to the DIAG header to monitor STDOUT when running outside of the debugger. Take a look at Samples/STDIO_SERIAL.C for how to route debug output over serial port A when running outside of the debugger.
As for running the program after downloading code with RFU, it is possible to send a serial sequence to have the program start, but it's not an option in the RFU program.
The OpenRabbit project (https://github.com/spth/OpenRabbit) actually has an RFU replacement for Linux that can start the program automatically after loading it. You could look at that source for the sequence (IIRC it resets the board via DTR and then sends three bytes at 2400 bps).