What's the best way to keep insects from coming in Jalousie windows?
Window screens usually go on the inside of jalousie windows because (most) jalousie windows open outward (at least partly). 

If you want to install a screen on the outside then you would (probably) need to build a frame around the window, with enough depth so that the window will not touch the outside screen. Also, you will probably need to weather-proof an exterior frame (like with flashing), depending on the depth and overhang of the eve.

Installing a screen on the inside may be easier, but ease of screen removal and durability with respect to repetetive screen removal (like for cleaning dead bugs) should be considered in the design.