That message covers several operations. Try setting "VERBOSE=1" on the "Make Target" entry and you should see the actual command set that is being executed when this error occurs.
That command set will be several separate commands and you can then execute them one at a time to see which one was the one that failed.
However, on looking more closely, I see that the boot-loader and DCT downloads did not also generate an error so I'd say that your connection to the chip was working OK. Therefore, at a guess, it might be something wrong with the application (trying to load into the wrong place, being too big etc.).
You can take a look at the OpenOCD log file ...\build\openocd_log.txt for mode detailed info.
Perhaps you can attach your log file if you still need help.
Broadcom 43362-based WICED Module with STM32F415 MCU mounted on BCM9WCD1EVAL1
But your picture show the MCU is STM32F401RET6 which is 512K Flash/96K SRAM device, But the BCM943362WCD6 should be 1MB flash with 128K SRAM !
You should check the OpenOCD built-in SDK is support the STM32F401 or not first ?
Then change the link script to fit your H/W !