Kyle101,
I understand what you mean by the bones not ROTATING the correct way.
When you want to rotate an object, first select it, then click the Rotate button, then click and hold on the object (or bone) and drag to rotate it.
If it doesn't rotate the way you want it to try using a different mouse button. Try the Left, Right, AND Middle mouse buttons. If it still will not rotate on the right axis try changing the view (Left, Front, Top, even Perspective). Remember, the different mouse buttons (and it seems like different views) change the axis that the bones rotate on (X, Y, and Z).
If it doesn't rotate the way you want it to just drag the mouse to the edge of the screen and let go and the bone will go back to the way it was. Pretty soon you will get the hang of it.
SirBonovox
P.S. If you are in Sequence Mode or Scene Mode you must make sure the "Key" button is green, other wise it won't save your changes for each frame.