Your picture is taken from inside the 'room' or outside?
Which is the area where the 'room' is? Where the table & chair is or where the windows are?
You have 3 options:
1) Find an approved HBD contractor to brick up the sides and install a door.
This will require HDB approval as the floor tiles around the area will have to be hacked (bricks must sit on the concrete floor).
The surrounding wall may also be partially hacked to tie in the new brickwork.
2) Find a carpenter to install a timber or metal stud frame, and surface it in plasterboard, install a door in the opening. May not require HDB's approval, but check first.
If you are worried about sound transmission, add insulation inside the stud framing before finishing with plasterboard.
3) Leave it as it is.
Option 1 will be messy and take longer.
Option 2 will be faster and less messy, but in the long run won't last as long. Slam the door too hard, it'll probably loosen from the frame (go see all those office partions in factories).
Option 3 is best when you cannot tahan the trouble of finding anybody to do this 'small' job. Whoever you get will jack-up the price because the job actually doesn't involve a lot of work.
Whatever you decide to do, check with HBD first before going ahead. If the work is not approved, they can force you to take it down.