I shut the door, really. But unfortunately my house is seriously made out of paper, because shutting out sound is impossible. I love singing, for example, but I can't sing when mom's home(which she always is), because then she'll yell at me for annoying her. Also I can't stay up too late, because she can hear me
type on the keyboard through the wall.
But I'm a pretty damn open person, I see no reason to hide things from, well, anyone really(unless it's mean things, I don't tell someone I think can sometimes be annoying that they're annoying pricks

), so besides the lack of verbal privacy, I don't have much to complain about, especially since I usually get left alone when I'm at the comp.
You could just tell your parents if you want some privacy though. Tell them you want to be left alone for a while and that you would appreciate it if they respected that.