Similar to what someone said, you wedge a penny between their closed door and its jam on the outside of the door. In principle, this pushes the door latch against the strikeplate so hard that they can't turn the knob, and can't get in/out of their room. In practice, you may need a small stack of pennies to generate enough pressure. I've glued several pennies together to make a single larger thing to wedge in the door.
NOTE: THIS IS A PRETTY SERIOUS FIRE HAZARD IF ANYONE IS IN THE ROOM WHEN YOU DO IT. Not likely to be an issue, but if someone burns to death because of your silly pranks, don't blame me. It also means you need to make sure that nobody catches you doing it.
Alternately, you can just go into their room with some elmers, and glue their stuff (staplers, mugs, etc.) to their desk where they lie. Or glue their desk chairs to the floor.
Edit: Oddly enough, there isn't much in the way of instructional videos for this on youtube.
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