See here for some ideas: http://stackoverflow.com/questions/2430782/alternative-to-goto-statement-in-java

Generally, using goto is considered a bad idea as there's almost always better alternative that will make your code more readable.

goto is a reserved word in Java, but isn't functional, on purpose.
But Java has labels. Which are used in named breaks. Which are rarely used (but can be useful).

Funny trivia: do you think this code can compile and run?

1. void setup()
2. {
3.   size(512, 512);
4.  
5.   http://Processing.org
6.   println("Hello");
7.   exit();
8. }

I'm aware that the function isn't good to be using; however, I want to use it. Unfortunately, the site I was directed to didn't help   Any know how to do this in Processing

As we wrote, there is no goto in Java. You have to use if () else or switch (), for () or while () constructs and similar instead.
If you want to use it just to try it, you have to renounce as it isn't a Java construct. If you have a specific goal for its usage, tell us and we will provide an alternative.