Help! I bought this bedroom set but I've no idea what the style is called or how to decorate around it. The bedroom is a square 17 x 17 with light grey carpet and walls. Nothing else is in the room at the moment. I'd like to find a paint that fits the furniture (no yellows) and decorate the room from scratch. Learning the style name would help. I'll take any ideas!

Before I get into your questions, I have a question for you. Is it too late to return it? If the answer's yes, check out the Silentnight web page for a great selection of beds and mattresses.
Oh my. Wow. I'd call that "style" a cartoon. It's a really poorly executed attempt to capture the allure and glamor of Italy. People who don't know any better refer to that "style" as Tuscan. Please see my post from 27 February, How Do I Decorate My Tuscany Dining Room. But really, it's wrong on a whole lot of levels.
So to answer your question about how to integrate it into a large bedroom so that you can decorate from scratch, I say scratch the bedroom suite and start over. You've fallen into a trap that catches a lot of people by the way, so don't feel too bad.
That trap of course is not planning. If you're going to decorate that bedroom from scratch, the first thing you need is a plan. I know that taking the time to put together a plan removes the thrill of stumbling across treasures you'll impulse buy (like that Godawful bed and night stand), but trust me, it's worth it.
Step one in a plan I'd suggest is to hire an interior designer. But if you don't want to do that, start with a list of needs. Figure out what you need the furniture in your bedroom to do. You'll need a bed, obviously. Then you'll need night stands, lamps, a carpet, linens, window treatments and then furniture to hold your clothes. Inventory your stuff and think about how much storage you actually need. Don't think about what any of this stuff will look like yet, concentrate on function first.
Once you know what this bedroom furniture is going to do, then you can start thinking about how it's going to look. Before you start picking finishes though, you'll need to draw up a floor plan so you can make sure everything will fit. You can do it old school and get yourself a sheet of graph paper and draw a room in a scale where a quarter of an inch equals a foot. Or, you can do it new school and draw it in SketchUp. Keep it simple and go easy on the themes. After all, the theme should be you and your life.
Based on your selection of that bed and nightstand, you like things to be a bit on the traditional side. That's perfectly fine, just be careful of scale and proportion. The bedroom suite in your photo is massive and ungainly. Something like that will overwhelm that bedroom. Take it down a few pegs. Look for smaller-scale stuff and don't buy a suite. Your furniture shouldn't match necessarily, but it ought to come together into a cohesive group.
Now, if you can't return that bedroom suite and you're stuck with it just go for Baroque (bad pun I know) and pretend you're the Sun King. recreate Versailles with it.

Actually, please don't. Beg if you have to but return that bed and night table.