Anechoic chambers are also used for EM waves. The goal is to reduce the waves in the frequency of interest. These rooms are used to test antennas. They keep out interference from the outside and keep in signals from the antennas.
Usually the electromagnetic anechoic chambers are completely surrounded in metal sheeting. Cheaper rooms are made using standard drywall with a sheet of aluminum foil covering it. All the metal sheeting must be connected together with no cracks or openings so as not to allow any EM waves to come in or leave the room. More expensive chambers use plywood or particle board with 1/16" metal sheeting glued to both sides and use metal connectors to attach the panels together.
The insides are usually covered in special foam pyramids painted blue. The foam partially absorbs the incoming waves and reflects some of the power back out. The shape of the cone usually directs the reflected power toward another cone which absorbs and relects until any signal left will be so low power that is will be undetectable.