We have no idea. How far have you got?
By that, I mean, you have not shown us the code you have so far.
Do you have Processing installed? Does it run?
Can you make a simple sketch?
Do you not know how to draw something?
Are you having trouble with text?
Mouse input?
Validating numbers?
Using classes?

Please post what you have so far. If you have nothing, then say so. As it is right now, we can't help you.

Okay, so far I have nothing I'm afraid. I can make simple sketches but unfortunately not much more than that.

search "grid" here in the forum (I must have posted one)
https://forum.processing.org/topic/drawing-a-grid#25080000001842225

best you have a class Cell and a grid which is a 4x4 2D array (you have to say instead of

1. int cols = 20;
2. int rows = 20;

now

1. int cols = 4;
2. int rows = 4;

in my code).

in the class Cell store the number of the cell for playing soduku.

a few numbers you set initially

then in the Cell check if mouse is over  (see rollover() in my example) if so and a number is entered via keyboard (see keyPressed in my code and modify it) store it in the cell.

You then need a function to check if all cells are filled out by the player and if so, check if all sums are correct. If so display a message with the command text saying "You won" or so.

the reference
on www.processing.org
can lead you through:
http://processing.org/reference

Then post your code and ask your stuff then we can help.

Greetings, Chrisir   

Christir, Thanks for your response, just a question - in the class Cell - where should I put in the numbers and which numbers should I be putting in?

put number right at the beginning of the class.

Set it to the sodoku numbers that are shown in the field for the game, you know? Some numbers are shown, other fields are empty.

Show the numbers by using

1. text(.....);

when mouse clicked and a number is entered show that too (see above)