Ah, how do you compile programs? By input command  in console? OK, two
ways:

1. if you use an IDE, or editors such as uedit32, editplus, they will
record all the messages.

2. If you input "javac classes.java" in console, there is a powerful
tool called pipe

javac classes.java >compile-message.txt 2>error-message.txt

Error messages  will be stored in the error-message.txt, and others will
be stored in compile-message.txt.
And if you want to store these two in same file, do this one:
javac classes.java >all-messages.txt 2>&1

This works fine in both unix and win2k.