Flash made me Crazy for several days.

You need to read the rest of the Nios II Flash Programmer User Guide, specifically the part about making a target board project at the end.

Basically, the flash programmer needs a .sof file that it will download to the Altera to act as a relay between the JTAG and the flash. There's a process, documented in the guide, to create the project for that relay. After creating the project, you add pins for the flash and any other signals (chip enables, for example), assign the pin numbers, and build the project. When you're done, you have a target board project. By putting its directory in your real project's directory, that target board is listed in the SOPC Builder. Select it, regenerate, and then the flash programmer will know what to do.

This really needs to be an FAQ. Lots of people miss the target board stuff in the Flash Programmer guide.