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I just found we are now support 43364/43438 in the CHANGELOG.
* IAR Support (43364/43438)
* IAR build infrastructure support enabled in WICED
but if you really want to have a try based on 43362 , you can have an change on below :
1. you need to have a IAR embedded workbench already in your PC.
2. please create one folder and copy all the file from STM32F411 folder.
The folder name is STM32F415 , if you find some include errors, please change the directory as the error shows .
I am now can compile successfully .