light switch controlling wrong light
Your question is pretty broad, so this answer will be as well.

When troubleshooting issues like this, you are going to have to open up electrical boxes, and look at all the wires inside.  This normally means pulling out the light switches (don't disconnect anything unless it is clearly labeled for later) and the light fixtures to get a clear picture of what is happening.

When wires come into an electrical box, they can do a few things.  They can just pass right through on to the next box.  They can be switched on and off and then go to the next box.  Finally, they can supply power to a fixture (and then go on to another box).

In your situation, one thing that could have happened is that in the switch for the closet light, there was supposed to be an un-switched wire that passes on to the switch for the room light, but it accidentally got tied into the switch.  This mis-wiring could have also happened in the box for the closet light fixture.

The first step is to open the closet switch box and light fixture and see how they are wired.  Pay attention to black wires that are bundled together and . think about how constant power comes into the box and needs to leave the box, and switched power must also leave the box to get to the light fixture.  If you don't see something you can't explain, you may also need to open up the two boxes for the bedroom.

Now, I will also say that figuring this out might not be the best "first project" to tackle if you have not dealt with home electrical.  If you have installed switches, outlets, and light fixtures and maybe installed a new outlet, etc, you would be more prepared.  Some of the wiring conventions might not be obvious to a newcomer, and it's easy to mess things up.