I use an old white flannel sheet that was one of my mil's.
I sew in my bedroom so I use clothes pins to pin it to the decorative front of my double closet sliding doors.
Someone else I know uses tacks and pins hers where the ceiling and walls meet, and then takes it down when she doesn't need it. That way she doesn't have pin holes in the walls, and she can maximize the whole wall, floor to ceiling.