Is there any material from which lenses are made which are fine with IR signal? I mean really cheap ones
No need for pricey special filters at that wavelength, ordinary acrylic plastic (Plexiglas is one trademark) is quite transparent to 940nm IR, no problem (well, up to stupidly thick pieces anyway). 



If you also want to filter out visible light, there is G 3142 or 1146 Plexiglas that absorbs visible light but transmits near-IR. 

Should be available from plastic distributors in various thicknesses, and it's easily machined if you need a custom shape. 



If you need an actual lens or prism rather than just a window, acrylic is a common material for making molded lenses- it's optically quite transparent at visible wavelengths too, and fairly hard (but brittle). 

Edit: 

Also, polycarbonate (one trade name is Lexan) is also fully transparent to near-IR. 

So, pretty much any plastic optical component will be made out of acrylic (lenses, some sheet plastic) or polycarbonate (many light pipes, also available in sheet), and you can use it without problems at 940nm.