UPDATE: A friend pointed out that the problem accessing the .pde file could be due to the same origin policy. Though not explicitly stated on the Github page for Processing.js, they do mention that disabling same origin setting in your browser is a(n undesirable) workaround.
Some web browsers (e.g., Chrome) require secondary files to be loaded from a web server for security reasons. This means loading a web page that references a Processing.js sketch in a file via a file:/// URL vs. http:// will fail. You are particularly likely to run into this problem when you try to view your webpage directly from file, as this makes all relatively links file:/// links.