Hang clear plastic around the inside of the three outer walls. Tape around the top -- snugly against the ceiling -- and pull the plastic down taut, before taping it to the bottom of the wall snugly to the floor.
Hang plastic over the outside doorway, if possible. If that is the only convenient entrance to your home, use draft stoppers underneath the door to seal out the draft when it is shut. Alternatively, hang a large, heavy curtain in front of the door to block out the cold that can be opened when entering the house.
Place space heaters in the room. One should be enough to keep it warm enough, if you live in an area with milder winters. Other options include a fan heater that is mounted directly on an outlet and a gas space heater. You may need more than one depending on the climate.