There are lots of ways to shoot a macro photograph, and most are going to give crappy results. If you are keen on the subject, then spend some time reading about macro. You will learn lots about it and your pics will improve a lot.
The main technical problems in macro are lighting, DOF, getting sharp focus, and camera/subject movement.
You can solve the DOF problem by setting your lens to f11 or f13.
Stopping down like that reduces the light hitting the sensor. In full sunlight (no flash), and an appropriate ISO, you can usually still get a good shutter speed to freeze motion sufficiently and get good captures.
Alternatively you can use flash. Flash provides lots of light and stops motion (because the light of the flash is a very short burst). Just make sure, as others have mentioned, that you don't get excessive ambient light. Check your settings before shooting, and also check the EXIF afterwards, and make sure they are right if you are trouble-shooting.
Flash provides the best and easiest way to ensure a good exposure and no subject/camera blur. But flash makes a harsh light. I would ignore that for now, while you are troubleshooting. But eventually you will want to diffuse the flash. And that is a whole new topic that could fill many pages.
Apart from all this, focus needs to be right. You want your focus to be right on the eyeballs of the subject. For small subjects waving in the wind, and a handheld camera, that can be very hard to achieve. So shoot lots of pics of the exact same scene, maybe even 50 or 100, and select the ones that are sharpest in the place where they need to be.
You could also set up your tripod (ask the bug to wait), and use Liveview to get dead sharp focus on the eyes. By the time you are set up and in range of the bug, pushing the tripod legs back and forth a quarter of an inch here and there, the bug is long gone. Ha ha. This technique is not good for living bugs. It is great for shooting things that don't move, though.
Auto focus can be real useful for macro shots where you are not too close to the subject. But if you are real close to your subject, AF can work at cross purposes and should be turned off.
IS can be very useful IMO for macro shots, but at close range its usefulness is limited.
Macro is great fun and you can get some super pics. But as with everything else, you need to practice, review, learn, analyze a bit, and repeat. Then you too will get great closeup shots.