While building flats as described by the other posters is fairly easy, there's an even easier way if you live in a large city with a good art supply store.
Use large sheets of foamcore. They'll cost a bit more than wood and muslin, but they take up little space and are extremely easy to use. And you can cut "windows" in them without doing a lot of carpentry. I've seen 4 by 8 foot sheets. You'll need a truck to get them home though...
If you are looking for something a bit cheaper, there's always cardboard. Check the big appliance stores in your area for a possible source of large pieces.
Depending on what you are looking for in terms of a "wall", your local home improvement store may have paneling available that will work. It will be in sheets 4 by 8 feet. I've seen paneling that looked like real brick.
If you want a stone "wall" there are paint kits used for finishing furniture that closely approximate the look of stone. A little styrofoam sculpture and you can even create the look of natural rock outcroppings.