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.