JavaLoader.exe -u eventlog >log.txt
will dump the event log to log.txt. The event log may not necessarily contain all of the debug output though. You may want to attach JDE's debugger to the handheld. The debugger, once attached, will show the debug output similarly to the debug out you get when you run a simulator.
Or, you can simply plug your device into the USB cable, run the JDE, and select "Debug / Attach to / Handheld". You will see the System.out in the console window.