What insect is this?
I can't tell from the picture what they are or what size they are, I am assuming small. It is not easy to keep them out. The good news is that it is often a short-lived problem. Making sure screens are tight and don't have holes or keeping windows closed and avoiding lights near the windows, are about the only help. You can't control them outside and treating the screens probably won't help. You might take some to your local Extension Center to see if they can identify them.