Get some plywood, and cover it on the outside.
Get some insulation and cover it on the inside.
Put a layer of reflectix on the inside over the insulation.

All on hand.

Oh, and heavy plastic sheets are good, I have some 20'x100' in the basement from concrete work leftover too, or tar-paper. If you want to keep something onhand cheap and small the painting plastic is affordable, small, and can close up a window decent.