The term "christening" usually refers to a baptism that is performed on a baby as one of the sacraments in the Christian religion. Water is poured over the baby's head; it is symbolic of being spiritually "reborn." However, other things are christened, such as houses, boats and rooms. For a married couple, christening a room could mean more than one thing.
Call a priest, minister or religious leader and invite him over to bless the room, or the house itself. For example, a Catholic priest may say the Lord's Prayer and sprinkle the room with holy water. A minister may use a Bible passage, such as "But as for me and my house, we will serve the Lord (Joshua 24:15)." Depending on the denomination, the religious leader will bless the room using the prayers or customs of that religion. If you want to make a celebration out of it, you can also invite some friends and family to gather during the occasion.
Consummate your marriage in the room. This is the other meaning of "christening" a room -- when a couple engages in sex in the room for the first time. It will be up to the couple to decide what meaning they will use to christen the room. If it's a bedroom, the couple may have already christened it.
Complete an activity for the first time in the room. This can be another meaning for christening a room. For example, the first time someone cooks a meal in the kitchen, he may say they he has "christened" the stove.