All my circuit breakers are in the on position, none being tripped. However one circuit in my bedroom that is connected to one outlet and three light fixtures do not work. How do I find out why is causing this problem?.

Is any of the circuts related that your aware of? Like the light switch operated the circuit? It could just be a bad light switch.

Check the outlet wiring. Make sure all wires are secure behind screws. Test with a volt meter or multimeter before touching wires.

If wires check out OK, open up one light at a time and check wire in that box with meter.

Is there a switch to control the lights? If there is check wires at switch.

Get back to us an let us know how u made out or if u need more help.

Chuck

GFCI outlet somewhere thats's tripped.

3 things come to mind, A tripped GFI as Kiss mentions, A Breaker that tripped but did not throw/bad breaker(test power out of all breakers to verify), since it sounds like part of a circuit, could be a wire has come undone, testing what is good at the bad outlet will help narrow down(hot or neutral).
If hot and neutral are lost then GFI is more likely. Especially if the receptacle and lights are on the other side of a bath wall. Do it yourselfers will tie into anything sometimes?