Controlling a dream, or lucid dreaming, is something I've heard about, and I once wanted to try it, but I felt it could be risky since it's related to the subconscious mind. I am not sure if it have any side effect but I think I should not try it as I felt it was risky for me. I don't know if it's something related to other things. If such a situation continues, I recommend you to visit a psychologist.