Delared,
I am able to connect to my DSK5402 with a XDS200 without a problem. I am also using CCSv5.5 but with the latest emupack (5.1.402.0).
Apart from the SW1-1 setting (must be OFF for external JTAG access), I can't think of anything else that could be impacting this connectivity. DSK5402 is an unsupported product and therefore information is scarce and testing is not performed. You may have better luck searching on the internet for schematics and information (here and here are a start).
Regards,
Rafael