I'm having trouble figuring out how to have filemaker automatically enter a order number/serial number for each entry.

This is the way I'm doing it right now.

In database I go to define, create a new name, and select "Number" as type, and under options I select serial number, check "Generate - on creation", and then I want it to start at 2500, and for each entry have it add 1.

After I said OK, it doesnt show up and acts like I did nothing to it.

Newly defined serial numbers only affect subsequently created records.

If you wish to number existing records, set the cursor in the serial number field (in Browse Mode), then select Records->Replace... and use the serial number option. This will renumber the records in the found set, so make sure your found set is correct and don't do this without first backing up your file.