Keep the Windows Closed
It's tempting to discount the importance of this one; after all, an open window lets you air out the room, gaze across the lawns, blare some music and generally enjoy the sense of community that a college campus is designed to encourage.
But it's fairly obvious that it's also an easy way to let outdoors creatures slip in. No matter how many floors up you live, winged nuisances can (and will) find their way in. Granted, a stray fly or mosquito is pretty harmless, but you might be surprised by the creatures that can find their way inside. Ladybugs, for example, are a notorious dorm room pest (especially the intrusive Asian species, characterized by their orange, rather than red, wings). Laugh if you will, but in the last five years or so, college students across the country have reported being plagued by swarms of ladybugs that can overtake a room, seemingly overnight. And ladybugs are resistant to pesticides, too -- the only way to get rid of them is to suck them up with a vacuum until no further evidence of their presence remains.
Even if you can't resist the urge to open the windows on a sunny afternoon, try to limit the amount of time you leave them unattended. Get in the habit of closing them at night, or when you know you'll be in class most of the day.
If your dorm windows aren't equipped with screens, see if you can install them; if they're damaged, ask campus maintenance to repair or replace them. As an alternative, an inexpensive window fan can facilitate airflow without leaving everything wide open.
Or, you can just go outside.