Andy,
Part of the package you downloaded was a document describing the limitations of the Eval version - you need to read that document.

One of the limits is that it will always generate code starting at 0x4000.
I think this is specifically to stop you from getting a free tool for developing apps for the smaller chips with on-chip FLASH.

You will have to fork out for the full Keil tools, or use external FLASH, or use a different toolset (as Bryan suggested).