My little sister was brushing my hair with one of her baby combs and now it's stuck. I've been told to soak it in water, but it won't work.
Getting your hair wet will just aid the hairs to stick to each other. Maybe it will help to wash it (to remove grease), and then dry it.
If cutting is needed, you do not need to cut the entire mess away. Just cut selectively on the "far" end of the mess - the reference being the hairs' roots. In this way, you will maximize the good hair remaining with you.
Tip: learn the lesson, and in the future do not allow people you do not trust to do anything with your hair. It is a pity to lose it for such a small reason. In the "worst" case, use proper tools / combs, not toys.