How to have privacy in college dorm room?

[A]

Despite having my own dorm room with NO roommate, I am concerned about my lack of privacy. People have overheard me at times where I do not wish to be observed.
There is a girl on my floor with Asperger's and I told myself in my room that she "really gets on my nerves." The girl's roommate unfortunately overheard and told her. Basically, she was upset over something that I didn't intend to share with anyone.
Second, I worked hard on an assignment, just to realize I didn't follow directions. I muttered to myself, withOUT meaning it, that "I'd rather kill myself than start all over again," which I'd NEVER do. I enjoy college and recover quickly from problems, but I tend to be a "drama queen". I was then called to a meeting, and explained that I was only exaggerating and my remark was NOT even meant for others to hear. However, they still called my parents about it.
Due to these two incidents, I wish to make sure nobody hears anything that I don't want them to. How can I ensure myself privacy in the future?