I liked this, it was scary. And, what's interesting, you managed to make Kyon afraid, without turning him into a whimp. That's some real good writing.

I don't think i'm gonna sleep tonight :'(
But it was very good, i look forward to this story too! ;)

To answer your question, he locked it from the inside. When he locks it, it says "Kyon turned and ran into his room and shut the door and locked it."

Then when Shamisen jumped onto the bed, Kyon briefly forgot that the door was locked and tried to open it. That happens to me a lot when I have Night Terrors: I run to the door, and if it's locked I still try to open it, just to get away from whatever it is that's in the room.

It's something people do when their terrified. They lose most of their rational thinking in fear and don't think straight.

I hope that clears it all up!

Hm. That WAS creepy. Now Kyon cannot even be left alone in his thoughts. I just have one question about something that doesn't make sense. Why would Kyon lock the door to his room from the OUTSIDE?