What's EE, CE and ME?

Yes. This is input leakage, i.e. the current your external circuit should supply to ensure a valid logic level on the input. As you cannot source the specified 10uA through the 1MOhm resistor, you should reconsider it's value.

As the input leakage is the ultimate limiting value in case the pin is in the high impedance state, you don't put any resistor in series. Nevertheless, it might be a good idea to limit the current in case of inadvertent setting of the pin to 0, when the relay is on i.e. the external circuit puts 5V on the pin. In this case, the maximum allowable current should be under the specification of Absolute Maximum values - but AD did not care to specify it, so you might resort to the Digital Outputs section (page 5), which defines output voltage of port 0 pin under 1.6mA load (sink), i.e. this is certainly a safe current.

In other words, any value between 3k3 and 470k will do.

Please note that I (and the datasheet) avoid using terms such as "input mode" and "output mode" of the ports. There is nothing such. The '51 ports are traditionally quasi-bidirectional, and this derivative appears to continue this tradition. YOu should really read the "bible" (i.e. the manual of the original 8051, links in this FAQ), the FAQs on inputs/outputs, and all the FAQs on this site, generally.