Ask your roommate to turn down the loud music politely. Do not yell. Talk in a level tone. Yelling will only escalate a situation and make it worse. Explain why the loud music bothers you. Ask her to use headphones. If you get along with your roommate, buy her a pair of headphones so she understands that you really mean it. Make her try to understand why loud music might bother you when you are studying. Say something such as, "I understand you enjoy listening to your music loud and it may help you concentrate while studying, but it distracts me." Be firm while explaining.
Negotiate with your roommate. Sometimes the best way to deal with a roommate issue is to meet your roommate halfway. Perhaps pick times where listening to music loud is allowed and times that should be designated as quiet times. Many dorms already have this policy in effect. If your roommate does not negotiate, check with your residence assistant (RA) to make sure quiet times are enforced.
Talk with your RA. Don't avoid the problem. RAs are your friends and can help roommates improve their relationships. Have her help you and your roommate come to terms. There is no reason for you to feel like you cannot study in your own room. Your roommate may be carrying over a habit from his home life. Listen to your roommate. If you listen to him and respect him, he is likely to listen and respect you.
Forgive your roommate. Don't dangle it over her head. That is only likely to make her start blasting irritating music louder than before. If you let it go and thank her nicely, she will appreciate it, and you will appreciate some peace and quiet.