Ouch! I am not sure I fully understood, but Go To (which exists in Java) is probably not the right solution: I nearly never use it in my code.
There are several ways to do what you want, perhaps the switch instruction is what you want.
You can also search the forum for 'state', that's what you need.

Well, since my nick is about GoTos, I guess I should give the bad news that
there's no goto keyword implemented in Java yet! 
Anyways, you can consider the callback function draw() as 1 big GoTo Loop! It keeps repeating ad infinitum! 

Problem is, you still hasn't figured out the dynamics of Processing! 
Basically, you declare "global" field variables at the top,
then you configure as much of the rest as possible within setup().
And within draw(), you have your big loop where your main code runs!

You have to be aware that the canvas screen is only rendered after draw() is finished.
So, it's useless to put any kinda delays there, since nothing is re-displayed while there!

And about capture user input events, like keyboard and mouse, it's pretty much advisable to set up those
using separate functions like -> keyPressed() and mousePressed().

Here're some posts which may help you out get some basics:
http://forum.processing.org/topic/handle-the-data-loading-without-using-threads
http://forum.processing.org/topic/displaying-text-from-a-string
http://forum.processing.org/topic/restarting-the-draw-loop-with-mouseclicked

Good luck!

The code below should help you get started. When dif == -1 then the buttons are shown and the user can select a difficulty level. Once selected dif will be 1, 2 or 3 and the buttons are no longer shown.

The switch statement in draw determines what code is to be executed at each level and setting dif back to -1 will show the buttons again.

HTH

1. int dif = -1;
2. 
   
3. void setup() {
4.   size(800, 600);
5. }
6. 
   
7. void draw() {
8.   background(100,255,100);
9.   switch(dif) {
10.   case -1: // difficult selection mode
11.     text("Quel niveau de difficulté ?", 10, 30);
12.     text("1, 2 ou 3 ?", 10, 50);
13.     pushStyle();
14.     fill(255, 204, 40);
15.     rect(30, 70, 20, 20);
16.     rect(60, 70, 20, 20);
17.     rect(90, 70, 20, 20);
18.     popStyle();
19.     text("1", 36, 86);
20.     text("2", 66, 86);
21.     text("3", 96, 86);
22.     break;
23.   case 1:
24.     // difficult level 1 stuff here
25.     break;
26.   case 2:
27.     // difficult level 2 stuff here
28.     break;
29.   case 3:
30.     // difficult level 3 stuff here
31.     break;
32.   }
33.   fill(0);
34.   text("Current difficulty level = " + dif, 10, 120);
35. }
36. 
    
37. public void mouseClicked() {
38.   if (dif == -1) {
39.     if (mouseX >29 && mouseX<51 && mouseY>69 && mouseY<91) {
40.       dif=1;
41.     }
42.     else if (mouseX >59 && mouseX<71 && mouseY>69 && mouseY<91) {
43.       dif=2;
44.     }
45.     else if (mouseX >89 && mouseX<101 && mouseY>69 && mouseY<91) {
46.       dif=3;
47.     }
48.   }
49. }

well is there a goto in java, or not? I'm confused :P

goto is a reserved work in Java, but is intently not implemented. The closest equivalence is labeled breaks, allowing to go out of several nested loops at once. That's what I used scarcely in Java: even this is rarely needed, in general.