I'm new to all this so every time I need to figure out how to write up some code I need to ask. (Which is getting annoying so I would like a little help so I can help my self)

I understand how to write the code and make it do what I want, but I don't know how to use the documentation.

eg. when an order is closed I know it sends info to onAccount. So I want to capture this to save to a file.

The data I want specifically is the price the order was opened up and the price is was closed.

From trial and error I see by using IMessage.Type.ORDER_FILL_OK will give me (18:27:19 FILLED BUY 0.0010 @ 1.2271) when an order is opened.

But this is just from trial and error as in the documentation (https://www.dukascopy.com/client/javadoc ... ER_FILL_OK)
all it says is "Sent after successful order filling"

I was lucky with that one, next one is getting the closed price, I thought it would be in ORDER_CLOSE_OK but its not, so how do I find what gives the closed price by looking through the docs?

As documentation should be considered JForex wiki + javadocs. JForex Support forum is additional source of information (either by using search or positing a question).
Order documentation starts here:
https://www.dukascopy.com/wiki/#Orders_overview
The example you mentioned is according to order states diagram, which is documented here:
https://www.dukascopy.com/wiki/#Orders_o ... es_diagram

You may not be familiar with object oriented programming (OOP)?
I OOP an object encapsulates the methods that are related to the object.
In the case of orders, most methods to query about orders are filed under IOrder, i.e. IOrder.getClosePrice() will return the close price of an order (you would use it like: <your order>.getClosePrice()).