How can I fireproof a room?
I personally wouldn't recommend that you put this inside your house.  If you really have something that gets that hot, I'd be looking into building a separate structure away from the main building.  This was actually pretty typical in early America -- the kitchens of large homes were in an outbuilding, so should there be a fire, it only burned down the kitchen.

I'm no expert on fire resistance, but I'd look to instructions on how to build a brick barbeque.  (normally, they're made from more than one layer of brick, with a special 'fire brick' on the inside).  If you used two walls, and left a void in between, you could fill it with vermiculite or perlite, which are the typical filling for fire safes.

I would avoid steel in the construction, especially in the roof, as repeated heating would cause it to sag; I'd probably use wood, with the assumption that if there were a disaster, the roof could be replaced.