Hi xmarkx
The Arduino Basics website page has two programs: one to run on the Arduino and the other to run on your PC. You need both working together and communicating for the project to work overall.
The PC one uses the Processing language and you posted the link to Processing. And from your screenshot, it looks like that program is running.
But have you taken the Arduino program from the Arduino Basics website and put that on your Arduino , using the Arduino IDE?
Cheers
Ray