Although it's weird, and rude.... I don't know that I would say anything. As Lisa mentioned, she obviously feels like you are "closer" in relationship, than you do. If she sees you as a friend, in any sense, this may be normal behaviour for her. My friends just give a quick knock and then come on in.
However, if it happened again; I would mention it. I would make it a joke "Hey, can you do me a favor and knock/ring the bell? Hubby is worried you might see him in his undies, hahaha". Of course, this only works for after hours visits!! If you said this about visits during the day.... they may call the cops, LoL.