Why need specify Memory initialization file for running Nios ii in Modelsim

Typically your NIOS code will reside in an on-chip memory. You set the processor reset and interrupt addresses to be in that on-chip memory. I'd recommend an LED blink program rather than hello, world as it's easier to verify your results. Follow a tutorial that blinks LEDs. I don't think a console will work in simulation other than seeing logic levels of the RS232 wire. There is a utility somewhere that you will need to run to convert your software binary to mif format for use in the sim. Sorry but I don't remember what it is called.