I want to know what specific style is the song Dee, by Randy Rhoads.
I know it's classical guitar, or just classical, but is there another name for it?

And also, I want to know how to compose classical like that. What scales, and all that stuff.

Well you sure aren't gonna learn classical composition on an internet forum in ten minutes. It takes years of studying theory.
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Justice_fish, you really can't start with no musical theory and go, I know I'll compose a classical piece, read some books on musical theory and start composing some simple melodys, you could use ternary form to compose a simple piece, start with 1 tune, then after playing it said times you change the tune, you could change the key, make it minor or something. and play a different melody. Then after that play the origianal piece. That's a crash course in ternary form but you should really spend at least a month studying musical theory and different styles of composition
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Hmm..I composed some songs with little theory knowledge. They're not that good - but not terrible either.

If you know your basic scales, chord progressions, simple chord construction, expressions, voicings, and timing, you should be set for a small composition.