Hi, I'm a new member here but this I know about. There are two types of screens being talked about - Tempest screen (designed to keep emmanations in) and an EMP screen (designed to keep emmanations out).
A Temest screen is usually applied to only a small percentage of a building (1 or 2 rooms) and the room is built using sheets of copper that cover the floor, all the walls and the ceiling. The sheets are bonded together and this shield is then bonded to an earth that is not the building earth. All copper cables passing through the shield are filtered including power cables so that if any emmanations are coupled onto the lines accidently that should not be on that line, they are filtered out by the filters and hence don't leave the room. If the room is an on-line room, the entrance will be an air-lock in which only one of the two doors can be opened at any one time. With an off-line romm, there may be only one door. Either way, the doors are RFI doors and are part of the screen. You normally can't see the screen as it is usually hidden by the walls etc.
An EMP screen is quite different. 1st - what is EMP? It is an ElectroMagnetic Pulse (as Gary said). There are only two causes of EMP AFAIK. The first is the Sun. You may recall hearing warnings about increased sunspot activity that may cause interference to communication systems. The interference in these instances is caused by the EMP wave from the sun reaching the earth with enough strength under high sunspot activity circumstances to cause interference but does not do physical damage to equipment. The second cause (and the one that EMP screening is all about) is a high altitude nuclear explosion. This releases a massive amount of energy in the form of EMP (among other things) and it can cause physical damage to communication and computer systems.
OK, so what is an EMP screen. It depends on how much protection you want. The ones I have seen are made of steel mesh and again the whole room (but more likely the whole building) is enclosed in it. The smaller the mesh, the greater the attenuation of the wave; the larger the mesh, the less attenuation. The screens is also bonded to an earth and in this case, it can be bonded to the building earth. All metal passing through the screen enters through a waveguide. A waveguide is a hole in the wall with a metal tube (usually rectangular in shape) running through it and bonded to the wall. Its dimesions are calculated using the lowest frequency expected and it acts as a barrier to the wave. Copper cables need to be filtered so that any energy induced onto the copper does not get past the waveguide. Fibre is a much easier way to go. Similarly, metal pipes passing through the waveguide need to be broken using some non-conducting material such as PVC pipe. The biggest waveguide I've seen was big enough to park two 5 ton trucks in it side by side and the smallest allowed one fibre cable through.
Both as you can imagine are very expensive especially if they are being retroffited to a building. As there is no danger from sunspot activity damaging equipment, it only leaves a high altitude nuclear explosion to worry about. Ground or subterranean expolsions won't do it unless you are close to ground zero and if you are that close, you'll have other things to worry about.
What's the chance of a high altitude explosion occuring in the southern hemisphere? Not much I would suggest. There is more chance of it happening in the northern hemisphere and then we would get some protection from the curvature of the earth. For my money, EMP screens in Australia are a waste of money especially now that the Cold War is over.