It took me several minutes to realize how to resolve this problem when you try to load your application into MCU and debug. It happens when you make some changes in the code, build it and after that start to debug. Apparently happens that situation that build in your computer is different from that one that is in the MCU flash memory as the following message tell us.
Error message is following:
LOADED APPLICATION DOES NOT MATCH ROM CONTENT!
Please download the application into ROM.
I did not realize what is the problem immediately and googling this lead to some wrong hints about missing header files. Actually it is very easy to make this problem go away. In the Keil uVision go to menu Flash -> Configure Flash Tools -> in the "Utilities" tab enable check box "Update target before Debugging"