[Dengar]

Well, if you are really desperate to know how she got in I'll just refer to this post made not long ago.

Originally Posted by AC-Phoenix

About Naegi not wondering how she got into the room:
This is actually an anime only mistake.

Spoiler for EP 9 - cut content:

Neagi actually asked her how she got into his room, and she told him that he forgot to lock the door, also scolding him for being so carefree.
Naegi was surprised about the fact that he forgot to lock it.