In one of Tom Brown's books, he suggests making a warm nest with mattresses: one on the floor near a corner of the room (no window), one on the wall side of the floor mattress, and push both against the wall. A third one on the bottom end of the floor mattress, push the whole thing against that wall. A fourth one on the outside of the floor mattress. One more on the top. The open end is draped with blankets or comforters so you can come and go. Make it double length for the whole family.

I thought that was pretty clever.

Also, if you have as much scrap foamboard insulation as I have (don't ask), you could cut it to fit the windows and strap/staple them in place.

Sue