Double glazing means two sheets (panes) of glass are sealed together with a 10-12mm gap (cavity) between them and that gap works as insulation, that is, it reduces the heat transfer through the window. It doesn't sound much for the costs you have to pay, but it works. Double glazing is often using special low emissivity glass coating and the gap can be filled with argon instead of air. Both increase the insulating properties of the window, making them work better but the principle is the same as with regular glass filled with air.
Double glazing effect can also be created by fitting a new pane of glass or even a sheet of plastic (perspex) over an existing window and as long as there is a gap between them it will work almost as good as professionally made windows. This is called secondary glazing and there are companies that make these inserts for those who don't want to pay double glazing price or for some reason are unable to replace entire windows.
We also included tightly fit heavy drapes with pelmets because they can trap the air in the gap (cavity) between drapes and the window which is said to work as good if not better than double glazing. Except for the visibility part of course so this solution is best for bedrooms where the light is not as important as in other living areas.