The solution is simple:
1. turn on 2 switches
2. after 5 minutes turn of one switch
3. go to the other room:
4. the on bulb is connected to the on switch
5. the warm bulb is connected to the switch turned on and off
6. the cold bulb is connected to the off switch

What is the basic idea behind this riddle? The idea is to look beyond the basic relation of actions and reactions, searching for additional information that can be exploited for increased value. There are many actual examples of such tactics:
• Signal intelligence for recovering conversations from power lines
• Sideways modulation in RF channels

In many interviews this riddle is asked for trying to see if one can think of secondary effects for solutions. Unfortunately, the riddle itself is no guarantee of such kind of thought, the real understanding of a technology or solution comes when you can teach it and understand the secondary effects, and not in arbitrary questions.