Although you don't mention how old you and your siblings are, your preference for a little privacy is an ageless and universal wish. Everybody needs their space, a physical area to call their own and a feeling of control over their immediate environment.
When your brother or sisters come through the door, they should respect the fact that they've landed in your territory, the place where you do and keep stuff that's important to you. Of course, yelling at them won't accomplish much beyond a sore throat on your part. Trying to reason with really young kids might be tough, too, because they may not "get" your logic.
Before you go for drastic measures like locking your door or putting a piece of furniture in the entranceway, have a chat with Mom or Dad. The solution can be something as simple as setting up a household rule that anyone who wants to go into anybody else's room should knock first. If you're there, you can decide how much freedom you want to give your siblings. Is it okay with you if they come in and hang around, or are you trying to study or talk on the phone with your friends?
If your brother and sisters make a habit of messing up your room when you're not there, borrowing stuff without asking, or doing something else in your space without your permission, talk with your parents. Make a clear statement about how their behavior affects you, especially if your studies or family relationships suffer because of the "invasions."
Most importantly, set a good example by treating everyone in your household the way you'd like to be treated. And take time out of your day to interact with your brother and sisters. Maybe they just miss you!