If you are not altering the examples on the website, the important thing is to download them to the same path (folder) and not rename them. That message indicates that the procedure can't be found. You might also use the FILE PROCPATH statement to set the folder location of the procedure explicitly if that doesn't help or edit the FILE PROC statement in the example.
It also looks like you have a version of SHAZAM from around 10 years ago but the trial version of SHAZAM 11 on the website includes the Johansen test within the Demonstration Workspace that loads on start - I suggest you download that, install it and run the example if you continue to experience trouble.
The key lines in that demo are the declaration:
* Declare the procedure (the filename - this one is different to your example)
file proc Procedure - Johansen.prc
and the call to execute the procedure that should match the procedure name at the top of the procedure file.
* Call the procedure