You should check out nios ii hardware development tutorial (http://www.altera.com/literature/tt/tt_nios2_hardware_tutorial.pdf).
Page 29 describes simple software development, although I would recommend following the whole tutorial if you've never done this before.
After completing this tutorial, you can take a look at creating multiprocessor nios ii systems tutorial (
http://www.altera.com/literature/tt/tt_nios2_multiprocessor_tutorial.pdf), which uses SDRAM for a multiprocessor system.
You can simply ignore the multiprocessor aspect of it, and focus on getting only one processor to run.
Good luck!
http://forum.niosforum.com/work2/style_emoticons/<#EMO_DIR#>/smile.gif