When I take my clothes out of the closet they smell like mildew... how to take the smell out?

Firstly try to paint the inside of your closet with waterproof paint or they will continue to smell, once the smell from the closet has gone it's only a matter of time before your clothes stop smelling.

After you do what suicide sid said
Try placing a couple of cedar strips in your closet and
To get the smell out of the clothes try putting some baking soda &/or peroxide in with the load of wash

I agree with the above ideas.
If possible you could try fresh air(outside in the shade) drying.

I've used this formula, add 1 cup white vinegar to wash, add clothes without detergent, then rewash with detergent. I would also try using something strong like Febreeze for the closet. Make sure it's really dry in the closet, if you have carpet in them check it out and see where the mildew smell is coming from.

Rewashing all the clothes and using febreeze is excellent advice in my opinion.

I think the first step should be to find and eliminate the source of the mildew. You must have a leak or dampness inside th s walls floor or ceiling of the closet. Have you found the mildew? Do not paint the wall intil you do find it.