First, on IRC, rooms are called channels. All channel names start with a # (pound) sign.
Creating a channel on IRC is easy. All you have to do is join it by typing /join #channelname. If you are the first one to join it, you will get ops (@) which lets you kick, ban, and give ops to others.
How do I keep it from going away when I leave?
You can register to have our channel services bot, X3, join your channel and keep it open for you 24/7. Instructions for registering with X3