do you walk on dream (sleep)

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I dont know whether you believe or not.But I get angry about me when I come to know that i am walking on sleep. I can see everything during that time. I can talk on that time. But I am on sleep. Only when I come out of sleep I begin to smile that i made such a fool. I am still in sleep. It happened with me many times. I wish to come out of this. But I was unable. I get one dream and on that dream such things happens. Every time new things. When I was small i dream as i am passing urine at bathroom. But When I feel cold on bed i come out of dream and feel shame for that.. Shh HAve you ever experienced this? why such things happen?