I think, the best way to collect and stain pollens from insect body is Fuchsin jelly. And under 40 X - to 100 X (air) magnification you can easily discriminate different species pollens. The following website might help you on how to prepare slides.
The procedure given by Amritendu is OK. For Identification of pollen from different flowers you should have to be families with pollen morphology of each flowering plants. So study pollen morphology of dominant plants. There are lot of images available in the web. Then it is easy.
There are several techniques for removing pollen from a recently killed insect specimen and identifying the grains. However, there are very few pollen atlases available and most use characters of grains that were subject to the long and messy technique of acetolysis. Before attempting to identify any pollen grain make a pollen library of glass slides and/or micrographs of pollen samples taken from known, identified flowers. I prefer staining with Calberla's fluid (NO JELLY!) which is based on basic fuchsin and turns the exine (outer wall of the grain) pink. A euthanized Insect is placed on a glass slide and bathed in 1 - 2 drops of ethyl acetate. Scrape off pollen deposits with a probe. Remove the insect then pin and label your specimen. Once the ethyl acetate evaporates you stain the residue on the slide with Calberla's fluid, wait 5 minutes and add a cover slip and a label that matches the label on the pinned insect. Wait about 24 hours before viewing the slide. Identification rarely requires magnification beyond 20 X. Different techniques need to be considered when attempting to identify the pollinaria carried by orchids and asclepiads. Read the following book chapter...Bernhardt, P. 2005. Pollen transport and Transfer by Animal Pollinators. In, Practical Pollination Biology. Dafni, A., Kevan, P.G. & Husband, B.C. (editors). Pp. 371-380. Enviroquest Ltd. Cambridge, Ontario, Canada.
Thanks for all the answers, really helped define what have to do to analyze the pollen grains. I just have one doubt on how to euthanize the insect: with ethanol 70% or low temperatures in the freezer? Which is the best way to keep the insects and then observe the pollen using fuchsin gel or Calberla's liquid. Ethyl acetate, I read is very messy, so I'm still wondering on the other 2 possibilities (ethanol or low temps).
You already got a lot of good info; on the euthanizing, it will depend on the type of insect you have, freezing would always work and can be kept for long time, but be sure of not letting water to condensate afterwards or you might loose some pollen. In case you use the ethanol, collect this since it will already wash out some pollen.
Also if the insect is just feeding on nectar (like moths) you can only flush the proboscis rather than the whole insect, water with Tween detergent or similar at 10% works quite well.
ALL solvents used to kill insects are messy. You have a choice. You can use fumes of cyanide, ethyl acetate or 95-100% Ethanol. A solution of 70% is too low. Ethanol is recommended if you think the insect specimen will be used, one day, for DNA samples. I would not try to freeze the specimen. It can take quite a while for larger insects to die via freezing. They also have a nasty habit of coming back to life as they warm up and you are trying to pin them.