Can you recommend a net or something that would keep them out? Sometimes we get so much that it looks like the roads are purely made out of them.

Floating Row Covers can be very effective in preventing grasshopper attacks on many plants and baits containing "Nosema locustae", can be of some help in controlling populations of newly hatched grasshoppers.

kimmq is kimmsr

I heard of the parasite, but it is too unpredictable for my conscience. I actually like grasshoppers and they are fun to catch. If I have to try to kill them I would rather do it in a more predictable manner.

It sounds like grasshopper populations get way out of control in your area, in which case a biological control method would be pretty desirable.

If by "unpredictable", you mean that you don't want any harm to come to any grasshopper other than those actually eating your fennel, then I'm confused. But if your intent is to simply exclude them from your plants, then you'll need to investigate the many types of row covers, as kimmsr suggested.

Spiders eat grasshoppers, by the way. ;-) Little spiders eat the youngsters and big spiders eat the big ones.

It's unpredictable in that I can't control which grasshoppers die. A grasshopper could get the parasite and fly very far away and then it could continue exponentially. I prefer the kind where an insect touches it and dies rather than a poison that can be transmitted.