I was asking about your Qsys or SOPC design. Anyway, I assume that your Qsys or SOPC design contains NIOSII CPU,JTAG UART and ONCHIP Memory(for both program and data memory).
Have you selected enable_sim_optimize option under BSP Editor Setting? If not select it.(project name_bsp->right click->NIOSII->BSP Editor->select check box).
Once Modelsim compiles all the files(it will do this automatically),type run -all command in transcript window.After 2-3 Minute it should display "Hello from NIOS II" in Modelsim transcript window.
I am able to run hello_world program successfully after following the steps mentioned above.