Patterns in electroencephalogram (EEG) signals are analyzed for a Brain Computer Interface (BCI). An important aspect of this analysis is the work on transformations of high dimensional EEG data to low dimensional spaces in which we can classify the data according to mental tasks being performed. In this research we investigate how a Neural Network (NN) in an auto-encoder with bottleneck configuration can find such a transformation. We implemented two approximate second-order methods to optimize the weights of these networks, because the more common first-order methods are very slow to converge for networks like these with more than three layers of computational units. The resulting non-linear projections of time embedded EEG signals show interesting separations that are related to tasks. The bottleneck networks do indeed discover nonlinear transformations to low-dimensional spaces that capture much of the information present in EEG signals. However, the resulting low-dimensional representations do not improve classification rates beyond what is possible using Quadratic Discriminant Analysis (QDA) on the original time-lagged EEG.