I made a timber frame a litle smaller than the window frame. I attached some rubber tubing around the outside edge of each of the four sides. Then I nailed the heavy black plastic around the whole frame. The tubing gives a bit allowing a tight fit as the thing is pushed into place. My window was high, so I had a single horizontal bar across the centre to keep the rectangular shape from bowing inwards. A couple of handles screwed into the frame make it easy to remove.

The only problem is finding a place to store the thing when not in use.