That sketch runs in Processing. If you don't have Processing installed, download it from Download Processing / Processing.org.
The associated Arduino sketch is http://cdn.makezine.com/make/books/getstartedarduino/eg/Example_08B.txt.
You will need both, I presume.
It would have helped if you had explained that it was an example from 'Getting Started with Arduino', so I didn't have to go searching for it.