If you just mean running an external application from Processing search the forum: that question gets asked frequently enough.
If you mean you want some two way communication going on then it's obviously going to depend on the external application and what channels it makes available for such communication. A good place to start would be looking to see if anyone's written a suitable Library.
As for tutorials - you probably need to be a bit more specific; though 'Making Things Talk' by Tom Igoe is quite a handy resource; but is perhaps aimed more at hardware to software communication.
What I need is quite simple (I hope). I'm working in an applet that only needs to give the "go" to another script. In linux this should mean open the terminal, write the name of the script and press enter. Maybe I need to move this to the linux forum.