Living in the same house, my in-laws come into our room without knocking. How can we protect our privacy kindly?

A married couple's privacy is a legitimate right, and asking for it respectfully is not a lack of manners. Raise this through your husband with his family, because a request from their own child is easier to accept. Explain the need as a household matter, for example time for resting or worship, not as an accusation. Make knocking on doors a practice for everyone in the house, including the children, so it becomes a shared culture, not a rule for one person. Asking permission before entering is Islamic etiquette for all, old and young. If the situation is hard to change, consider a space or schedule that gives you privacy. Say it gently and patiently. See in-laws.