I have never used these personally, so correct me if I'm wrong, but look here:
http://processing.org/discourse/yabb2/YaBB.pl?num=1232397885/1

Yes, anything Java can be imported into Processing.
They should both work unless they are far too outdated for the version of Processing that you are using.
You need to make sure that you saved them correctly... I believe that there should be a "libraries" folder in the folder with all your sketches, where the library should by kept.

Creating a folder there won't make any difference, I do it all the time to organize my sketches. The question is whether or not Processing will pick up the library. Go ahead and try it.

Usign non-processing oriented java libraries with processing is, at best, a bloody headache. You should try to use processing in eclipse or netbeans. 

Have you tried the menu Sketch > Add file? (and point to the jar of the library)

wrt installing:  http://commons.apache.org/math/

download latest (2.2 as of this writing) and extract
rename "commons-math-2.2.jar" to "commonsmath22.jar" (processing doesn't like the dot and dashes)
then create and move it to this folder: (YourSketchbookPath)\libraries\commonsmath22\library\
(restart processing if running to refresh the library list)

note that if you do a "Import Library" on this thing you'll get EVERYTHING, but you only need:
import org.apache.commons.math.complex.*;

hth