It's a beetle, I suppose. But before I try to find it in the internet, any hint about classification, family, whatever, will help narrow the search.

http://www.shutterpoint.com/Photos-ViewPhoto.cfm?id=839939

I will take better picture once it's dead. Unfortunately I don't have anything to sedate it. I'm glad I was in my bedroom when this thing entered and I heard it hitting the curtain. Imagine finding it walking on me in the middle of the night?!

Is that maybe a box elder bug

Looks a lot like a June Bug.  As kids, we used to tie a piece of sewing thread to a leg and let them fly around us.  Toys are much more interesting now.   I tried to teach my grandson (then 12) this and he was totally bored.   

Firefly?  http://www.learner.org/jnorth/images/graphics/f-g/firefly_Purdue.jpg

Any ideas of how I can make the little guy quiet without letting it die? Putting on the refrigerator for some minutes?

I killed it.    

The fridge trick didn't work, its legs where retracted (just like us, I think, it tried to keep warm this way).  As soon as it warmed again it starting racing in front of my lens.

I then started putting a lid on it to see if I could get it quiet when I removed the lid, but it was always quick. It was fun to see the lid moving with it underneath too....

Then I tried a trick I have used with other insects, having it breathe alcohol.  I think I overdid it.  At first it looked only dizzy, moving its legs once in a while (I was photographing its belly at this point), but then it stopped moving completely.  

epantha,

I think the problem is that this bug didn't simply froze with the cold fridge air, it contracted, so it wasn't "photographable".