You could possibly buy some insulation material from your local hardware or building supply store.
The cheapest would be to buy fiberglass insulation, but I would recommend against this, because it can be bad for your lungs if not installed properly.
The quickest and easiest would be to get some rigid foam board insulation and put it up against the wall. With this you could probably wallpaper over it, or possibly even paint some types.
Be sure to check the R-Value on the insulation that you want to use. The higher the R-Value, the better insulation that you will get.
I know that it doesn't seem like you will get a lot of benefit from some foam board, but you would be surprised.
Home Depot - All Insulation
Home Depot - Rigid Insulation
From a cost perpective, you aren't looking at anything outrageous either.
Let's assume your wall is 8 feet tall (for simplicity)
and that it's 24 feet long. (That's a pretty decent sized wall for a room)
You will need 6 - 4x8 pieces of Rigid Insulation Board.
at ~$20 / sheet for the 1" stuff, that's $120 (US)
at ~$37 / sheet for the 2" stuff, that's $220 (US)
If you do install the foam board, be sure to get some foam sealer (like Great Stuff) and put that in between the cracks. Small gaps in the foam board can make a surprisingly big difference.
The next step would be putting sheetrock or really inexpensive plywood / fiber board over it.
Good Luck and let us know how it works out!