I got caught by guards ontop of the castle and they threw me in a dungeon, i managed to get out when i got out of the room i was for some reason teleported to a room with no doors or stairs, just walls and a rat which i killed and now i cant get out...anyone know how to get out?

That's pretty strange. Can you post a screen shot? Are any of the walls actually secret doors you can walk through?

Afraid ive started a new game since, but it was just about a 4x6 room with just a rat in it and walls, i tried walking, opening and searching every wall but found nothing

im new to the game so i probly missed a command or a spell maybe

Which castle were you at, British or Blackthorn?

british

Jail is actually located in city of Justice, and when one is thrown to jail, he is transferred to there.

Warning - spoilers ahead!

There is lots of scret doors in jail, you can get out by getting keys, and then searching walls for secret doors.
If you get out from jail cell using cell door), there is trapdoor (loose brick) next to the grate, just one step south from your cell door. If you step to it you will drop down to that dark room with rat.
On that room, there will be secrets around, just search. You should take a look of small details carefully on room walls. There is slight difference between normal wall and the wall having secret door.