Usually I can get away with leaning out of my window and blowing the smoke as far away from my room as pos.

My friends usually spray their rooms with deodrant first because 'apparentley' it will mask the smell just like it masks BO, although even if you do that i still suggest you keep a window or two open, put towels down to block any parts of your door which smoke could seep through.

Otherwise you could just go outside