Foreign bodies in the ear are a common occurrence in children, but even in adults, such insects can enter the ear canal. These, of course, cause a lot of discomfort and in some cases may even perforate the eardrum or cause ear canal injuries.
The first thing you should do when you suspect an insect has entered your ear is to suffocate it with common ear drops available in your house like wax-dissolving ear drops. If ear drops are not available then any sterile liquid will help. Then visit your ENT doctor at the earliest to get the insect removed from your ear before it causes any damage.