Heh, can you tell I'm new to this?
When I intially set this up, I followed the Nagios instructions verbatim... my "downloads" directory ownership was root. I deleted this and recreated it within myself as the owner, and redownloaded the plugins. I chmod / chowned it (I'm new to this) until the permissions were wide open. I reinstalled the plugins based on the instructions, and the check_hpdj was in the proper directory...
In short, it was a permission problem.
This is a test box and it's inside of our firewall, so I'm not as concerned about security for my download folder. The most important thing is that it works
Thank you for your help Strides!