Prove $\neg(a \lor b)$ is the same as $(\neg a \land \neg b)$
It makes sense when I think about it, but how does one prove it?
Also is there a relationship with the above and saying: $(a \implies b)$ is the same as its contrapositive $(\neg b \implies \neg a)$ ?

To prove it, write out a logic table with the four cases for $a$ and $b$.
You can write a similar truth table proof out to show the equivalence of $a \Rightarrow b$ and its contrapositive. See this question and answer. The formal proof (see my answer to the linked question) uses a slightly different construction that the ones you are asking about.