What material is window insulation film?
A quick Wikipedia search leads me to say its Polyolefin (also see Shrink Wrap):


  The most commonly used shrink wrap is polyolefin. It is available in a variety of thicknesses, clarities, strengths and shrink ratios. The two primary films can be either crosslinked, or non crosslinked. Other shrink films include PVC and several other compositions.


Source: http://en.wikipedia.org/wiki/Shrink_wrap

Any adhesive that will adhere to "plastics" should work fine.