I'm a beginner at Norwegian, but I will try to provide an answer.
It appears there is a matter of degree in the wishes.
Jeg vil lære norsk = I truly wish/want to learn norwegian
Jeg ønsker å lære norsk = I wish in the depths of my heart to learn norwegian
Jeg har lyst å lære norsk = I have a desire to learn norwegian.
It appears the "meg" is relating back to the "jeg" so the sentence appears to mean:
Jeg har lyst å lære meg norsk = I have a desire to teach myself norwegian.
I'm probably wrong in my guesses, but I hope it has helped in some way.