Many insects can hear sounds but they do not hear in the same way as you or I. Cicadas have their hearing organs in their stomachs. Crickets have their hearing organs in their knees. Male mosquitoes hear with thousands of tiny hairs growing on their antennae.
Most insect do have ears. These "ears" are not ears as we know ears, but are the ear "drums" that sit on the surface of the body. There is no hole or ear flap as you are familiar with.
In many insects, the ability to hear is quit acute, because they need it to find a mate, like in Crickets, Cicadas, Katydids, Grasshoppers, etc. Next time you are spending a pleasant summer evening on your porch listening to the crickets chirping, remember they are not doing it for you, they are making this sound to attract a mate.