To people who are confused... "to learn" is an old way of saying "to teach" and you can still find it in some American dialects. I found a little explanation here: http://english.stackexchange.com/questions/14778/is-learn-the-new-teach
I have been using 'underviser' for 'teach' to avoid the confusion between the two.
I believe "lære" means "teach" with an indirect object (e.g. jeg lærer dem å danse) and learn without one (e.g. han lærer å danse). Therefore "they want to learn Norwegian" would be "de vil lære norsk", which could mean teaching themselves or learning from someone else. Put a "seg" in there and you're specifying that they're doing both the learning and the teaching, thus "they want to teach themselves Norwegian".