rfrenz,
To me it looks like your programmer is looking for the flash-programmer SOF file. This is specific to your board. If you are working with an Altera or Microtronix board these already exist. If you're working on a custom board. You have to make one.
There are two SOF files needed for any design.
The SOF file which includes your Nios core (a custom core, or eval core). This should be your big one, the one your kernel, file system, etc... is built against. And the SOF file used to "burn" your flash. When programming your flash, the nios2-flash-programmer is going to load the flash SOF file.
The best example I can give you is to reference the ug_nios2_flash_programmer under the documents directory. In there, they explain how to create a flash programming design for burning your custom boards using the mk_target_board command. It's a small Nios core used specifically to burn you flash.
So, after all that, you need 2 SOF files. Your "target" SOF, and a "flash" SOF. The flash programmer is looking for the "flash" SOF.
Hope this helps,
Doug