A significant amount of heat is simply radiated through a curtain from the warm room, and then through the window glass into the great outdoors. To prevent this loss of heat, a curtain might include a reflective layer which reflects radiant heat back into the room, rather than simply allowing it to radiate outwards through the window glass. You can assemble fabrics and materials into a quilted type of curtain yourself, or you can purchase ready made insulating liners that provide both insulating and radiantly reflective properties with R-4 values.
If you want to save some money and make such a curtain yourself, you can purchase a product from the hardware store called “Reflectix”. You find this in the insulation department. This material (also known as Astro Foil) is nothing more than aluminized bubble wrap with a few layers of bubbles sandwiched between aluminumized outer surfaces. It is used to insulate difficult spots, and as a heat barrier in the attic among other things. I am sure you have seen bits of this stuff around. It would make a most excellent addition to a liner.
The best way to use Reflectix is by sewing it in between two layers of fabric (any material would do,) so that it could be easily hung and fastened. Reflectix is light, flexible, very inexpensive, highly reflective, and has an R value of over 6, and quite possibly could perform at an R value of something more like 10 in this type of situation. Something with an R value of 10 is on par with the insulating value of the usual insulated 2x4 framed wall.