Just shot myself in the thigh, not sure what happened

So, I was shooting my Glock 19, it's my first time owning one so I was very excited to shoot it, the bullet went through and hit something and it got lodged, it got stuck in the grip and it shot me in the thigh. I'm alive and okay, but I'm very confused as to how this happened. Is it normal for the bullet to go through and hit something and get stuck in the gun?<br><br>I've been looking all over for the bullet, I found a small piece of cloth in my room and a little blood on my bed, but I couldn't find the bullet anywhere. I'm really hoping it's not stuck in my leg forever. Does anyone know what could have caused this?<br><br>Sorry for the confusion, I'm really confused and frustrated at this point.