Check with your state's building code for the requirements related to fire walls.
Purchase special fire-rated materials for the ceiling above a furnace room.
Lay the I joist or trusses that are in your plans above the furnace room.
Run a line of fire-rated caulking down the length of the joints above the furnace room and around any flues, pipes or other openings caused by material going through the ceiling.
Insulate the ceiling with fire-resistant insulation. This should cover any new insulation you would buy. If you are reusing old insulation, check to make sure it is burn resistant. This information is found on the insulation facing.
Cover the walls with either 5/8 inch gypsum board or two layers of ½ board. Different states have different requirements in their codes. The plan for the space above the furnace room, for example, an attic or a bonus room, will cause the required fire-resistant material to be different. Check the building codes for the intended purpose of the room above.
Finish with drywall mud and tape. Paint as you normally would.