I bought an Actron CP9125 Code Reader to try and diagnose a rough idle at cold start on a 98 Ford 4.0 engine. The rough idle had not caused?

The CEL to come on. I plugged the code reader in with just the key on and pressed read and the little asterisk goes half-way across the screen one time and stops. I press the read button again and it reads 0 codes. I was thinking it would scan multiple times to check for pending codes or other issues. I tried it with the engine running and the same thing happens.
Is this code reader operating properly?

Did you read the instruction sheet?

Go to a parts store and get the codes read. Your reader might be defective or there are really no codes. CEL will lit when fuel trims are excessive or sensor values are out of range or does not correspond with other sensor values.

I have an actron code reader- it works well. I gave my sister one and hers works well. It will pull trouble codes stored in the computer, but will not create trouble codes by itself. Your computer has no trouble codes.Cold starting usually can give rough idle, and sometimes that depends on the brand of fuel being used. Sometimes a weak battery will make a rough cold idle as the alternator drags the engine a bit charging up the battery. Check the battery, clean and tighten the terminals. Heck the sparkplugs and wires and make sure the wires aren't wet in the morning and arcing off spark until they dry. Spray them with WD40 and wipe them.