Ma perche non usi JOptionPane invece che creare te una JDialog...

Cmq:

myDialog.addWindowListener(new WinClose());

public class WinClose implements WindowListener
{
public void windowActivated(WindowEvent e){}

public void windowClosed(WindowEvent e){}

public void windowClosing(WindowEvent e)
{
myTextField.setText("");
}
public void windowDeactivated(WindowEvent e){}

public void windowDeiconified(WindowEvent e){}

public void windowIconified(WindowEvent e){}

public void windowOpened(WindowEvent e){}
}