Well, I recently did this and it worked fine for me 1st time. Still what are the possible source for errors and have you checked them all?
1: Wiring. The picture of your servo is Brown, red, orange, the schematic on the Sweep tutorial shows Black, Red, Yellow. You have the orange to pin 9, the brown to GND and the Red to +5V, right?
1a: Check the wiring again.
Good connections? Is there actually power? To BOTH the Servo and Arduino?
2: Loaded the "wrong" program into the Arduino, or not loaded at all.
2a: Program not running (something is blocking Arduino execution) Modify Sweep with digitalWrite(13,HIGH) before the first for-loop and the same with "LOW" before th other, to verify that your loop is looping. (the onboard LED blinks, slowly). Alternativly put insome Serial.print() calls. This loop will run whether the servo is connected or not.
3: The Servo is broken. See previous suggestions by vinceherman
That servo shown on your picture seems tiny enough to power from your Arduino. If it takes too much power, the Arduino would reset. You might notice that on the starnge/modified LED blink