cerrar jinternalframe desde jframe

Prueba con este código:
Código
import javax.swing.JInternalFrame;
import javax.swing.JDesktopPane;
import javax.swing.JMenu;
import javax.swing.JMenuItem;
import javax.swing.JMenuBar;
import javax.swing.JFrame;
import java.awt.event.*;
import java.awt.*;
import java.beans.PropertyVetoException;
 
public class UCIChess extends JFrame {
 
	JDesktopPane jdpDesktop;
	static int openFrameCount = 0;
	MyInternalFrame myInternalFrame;
 
        public UCIChess() {
		super("JInternalFrame Usage Demo");
		// Make the main window positioned as 50 pixels from each edge of the
		// screen.
		int inset = 50;
		Dimension screenSize = Toolkit.getDefaultToolkit().getScreenSize();
		setBounds(inset, inset, screenSize.width - inset * 2,
				screenSize.height - inset * 2);
		// Add a Window Exit Listener
		addWindowListener(new WindowAdapter() {
 
			public void windowClosing(WindowEvent e) {
				System.exit(0);
			}
		});
 
                addKeyListener( new KeyAdapter(){
                    public void keyPressed(KeyEvent e){
                        if( e.getKeyCode() == KeyEvent.VK_ENTER ){
                            try {
                                myInternalFrame.setClosed(true);
                                myInternalFrame.dispose();
                            } catch (PropertyVetoException ex) {
                                System.err.println("Closing Exception");
                            }
                        }
                    }
                });
// Create and Set up the GUI.
		jdpDesktop = new JDesktopPane();
		// A specialized layered pane to be used with JInternalFrames
		createFrame(); // Create first window
		setContentPane(jdpDesktop);
		setJMenuBar(createMenuBar());
		// Make dragging faster by setting drag mode to Outline
		jdpDesktop.putClientProperty("JDesktopPane.dragMode", "outline");
	}
	protected JMenuBar createMenuBar() {
		JMenuBar menuBar = new JMenuBar();
		JMenu menu = new JMenu("Frame");
		menu.setMnemonic(KeyEvent.VK_N);
		JMenuItem menuItem = new JMenuItem("New IFrame");
		menuItem.setMnemonic(KeyEvent.VK_N);
		menuItem.addActionListener(new ActionListener() {
 
			public void actionPerformed(ActionEvent e) {
				createFrame();
			}
		});
 
		menu.add(menuItem);
		menuBar.add(menu);
		return menuBar;
	}
	protected void createFrame() {
		myInternalFrame = new MyInternalFrame();
		myInternalFrame.setVisible(true);
		// Every JInternalFrame must be added to content pane using JDesktopPane
		jdpDesktop.add(myInternalFrame);
		try {
			myInternalFrame.setSelected(true);
		} catch (java.beans.PropertyVetoException e) {
		}
	}
	public static void main(String[] args) {
		UCIChess frame = new UCIChess();
		frame.setVisible(true);
	}
	class MyInternalFrame extends JInternalFrame {
 
		static final int xPosition = 30, yPosition = 30;
		public MyInternalFrame() {
			super("IFrame #" + (++openFrameCount), true, // resizable
					true, // closable
					true, // maximizable
					true);// iconifiable
			setSize(300, 300);
			// Set the window's location.
			setLocation(xPosition * openFrameCount, yPosition
					* openFrameCount);
		}
	}
}
lo bajé de aqui y lo modifiqué tantito.