I am using the facebook dialog feed to allow the user to post a message to their wall.
You must provide a redirect_url for the page to redirect to after it has submitted,
I want on the page it redirects to to have some code which simply closes the windows.
I tried using
<html><head><title>Close</title></head><body onload="window.close();"></body></html>
and
<html><head><title>Close</title></head><body onload="self.close();"></body></html>
but to no effect.
(note that my testing is simply me opening a new tab with this url, could that be the issue?)
You can only close windows with javascript if they were opened with javascript.
Otherwise, try looking at this question: How can I close a browser window without receiving the "Do you want to close this window" prompt?