This is designed to link https://www.adafruit.com/product/1077 to http:https://www.eegsynth.org
You should not only write the firmware to the ESP8266 module, but also the static content for the web interface. The html, css and javascript files located in the data directory should be written to the SPIFS filesystem on the ESP8266. See for example http:https://esp8266.github.io/Arduino/versions/2.0.0/doc/filesystem.html and https://www.instructables.com/id/Using-ESP8266-SPIFFS for instructions.
You will get a "file not found" error if the firmware cannot access the data files.
This Arduino sketch includes a data
directory with a number of files that should be uploaded to the ESP8266 using the SPIFFS filesystem uploader tool. At the moment (Feb 2024) the Arduino 2.x IDE does not support the SPIFFS filesystem uploader plugin. You have to use the Arduino 1.8.x IDE (recommended), or the command line utilities for uploading the data.