I would NEVER EVER rent a room anywhere that does not have a keyed lock on my bedroom door. You have NO IDEA who is in and out of the house or which friends of the landlord has other friends they bring over. Not all people are trustworthy.
I 'think' the guy came into your room to close the window because he had a reason to close the window, not because he wanted to go into your room. I know that in my own house that when certain windows are open, the air flow in the house either increases or decreases. Perhaps there was not enough air flow or too much. Maybe he was going out and thought it might rain, so as usual, windows are closed during rainy weather. Perhaps there was no screen on the window and bugs were getting inside. So, given the benefit of the doubt, he could have had his OWN good reason to close the window.
I would talk to him and discuss it in a non accusatory fashion. Something as simple as "I noticed you closed the window(s) in my room. Is there a reason why I should be sure to close my windows when I am not home?"
Having an open line of communication with the people with whom you share a house with is key to getting along and understanding one another and reaching compromises.
Still, I would ask him if he minds if you change the door knob to one that locks and in the next breath tell him you will reinstall the original hardware when your tenancy ends.
In the end, this is his house and things like privacy should be discussed prior to rental and be in the lease agreement. You are paying good money toward his rent or mortgage for one room, so you should be entitled to privacy. I would positively get a keyed lock for your door and abide by his desired window policy.