Unless that room is in active use, heating it and/or air conditioning it costs an enormous amount of money and energy.
Here's how to isolate that room (as much as is possible) from the rest of the house so your furnace or A/C unit isn't spending extra energy controlling the temperature there.
Step 1: Materials
You will need:
Several towels - the number depends on the size of the room and its specifications. Also, these don't need to be your finest monogrammed bathtowels, just anything you can dig up.
Duct tape (possibly) - This depends whether or not things will stay on their own where you want them.
Step 2: Block off the windows
The windows I'm demonstrating here are double layer storm window-style ones. I realise that many, are just a single sliding layer of glass. That will change things slightly (cue the duct tape!).
First, close the exterior pane if you have double windows, or just close the whole thing if it is single.
For a double layer of glass, stuff towels in there until the entire space between has been filled. The tape shouldn't be necessary, as the towels (the photo actually shows old hoodies) should be wedged in their firmly enough on their own. Then close the interior window and close the blinds.
For a single window, you'll have to break out the ol' duct tape to keep the towels attached to the window.
As a final note, I would recommend the use of black or darkly coloured towels for this, as it will be the least obtrusive when viewed from the outside.