As the title says, I'm looking for ways to cool a rather small room (approximately 4sqm) during summer. Its southern and western walls are windows, and during PM hours this room turns into a sauna even though I've installed curtains. This room is located next to my bedroom, which has an A/C and a ceiling fan, but both are pretty much useless when it comes to temperatures in the small room.
Here's a quick sketch of the floor plan, just in case my explanation wasn't clear. 
Thanks :)
External shade is the most effective reasonably cheap way. Window films are also good, as are silvered black-out blinds - but then you need to turn the lights on and can't see out.
On the ground floor I use a large parasol on the patio, almost touching the wall above the downstairs windows. That's effective and low effort, but doesn't work upstairs without a balcony.
But as it adjoins an air-conditioned room, a fan in the doorway between the two rooms would give you some almost instant relief from the heat. Ideally it would be positioned to blow cool air from the bedroom directly at you, because you can't reasonably shift enough air to cool the whole room very much - but if you're cooler that doesn't much matter.
One other thing is to start cooling early. If it's so hot you need to sleep with the air conditioning on, leave the office door open so it's cool in the morning. Otherwise try to get some cool morning air in there before it gets too hot, closing the window and turning on the a/c when outside gets warmer than inside
The cheapest and easiest way to stop the sun hitting a window is to add a roller awning.
Note that they don't actually need to stick out all that far in summer, when the sun is high in the sky. There's much less chance of it being damaged on a windy day if you roll it out just far enough that the window is in shadow.
Fixed awnings were common in many parts of the US before air conditioning was available, and are still seen on older houses. They can be a bit more expensive to install but should last longer.
Technology Connections posted this video recommending awnings just a few minutes after I wrote this :-)
this room turns into a sauna even though I've installed curtains
All the sunlight energy that passes through the windows will heat anything it lands on: walls, floor... and curtains. These objects then heat the air in the room. Thus curtains simply act as a radiator. They do nothing against heating from direct sunlight.
To prevent your room from turning into a sauna you have to block the sunlight from entering through the window and keep it outside. Sunlight is about 50% infrared and 50% visible light.
So you can use a reflective film, that will reflect most of the infrared and a proportion of visible light too.
Pros: easy to install, works no matter what the sunlight direction is, see-through.
Cons: can't be turned off, so it will also keep your room cooler in the winter. You won't get free heating from the sun, you'll get less light, and you'll lose that warm cozy feeling of basking in front of the window in winter. So it's not an optimum solution.
The other solution is an awning like Robin suggested, or blinds/louvres, but they must be outside. Otherwise they'll turn into a radiator, just like the curtains.
Pros: adjustable, so you do not lose comfort in the winter. More effective than film in blocking sunlight.
Cons: you have to adjust them through the day. Obstructs view (but you can roll them up to hide them).
On a south facing window, this is ideal. I use an awning made of steel pipe with vine growing on it. In the summer, I get shade, and in the winter, the leaves fall off so I get sunlight.
On a west facing window, it is less than ideal because in the evening, sunlight comes in almost horizontal... then if you want to block it you have to close the blinds almost completely. An awning wouldn't work well on the western window, because a large part of the window won't be in the shadow unless the awning is much wider and reaches much lower than practical.
Other options
In France these are popular, we call them "roll curtains":
However, IMO they suck. That's because a window performs many different functions: look outside, let in light, ventilation, let in or block heat/cold, block intruders, etc. And with a rolling curtain, either it's down and you're in the dark with no view and no ventilation (but not thieves either), or you roll it up and it does nothing. But if you want to leave the window open at night in the summer to let in the cool breeze, then you have to roll it up, so there's no security. Plus they're ugly and when closed the space between the shutter and the window gets extremely hot when the sun hits it, so not very effective against heat either.
Louvred shutters look better and are much more effective. They provide ventilation when closed, provide some security, and you can open one or the other, or leave them ajar, to block direct sun depending on the direction it's coming from.
I'd be getting some sun blocking shades, either exterior or interior, to help reduce the overall direct heat in the room. Then install a through the wall fan to direct the air conditioning into the room as needed. They are inexpensive and easy to install. If the door is tight fitting, you might need to install two fans, a supply and a return. See photo below from My Cooling Store.com, who I am not affiliated with in any way.
You could also consider the historic type of "plantation shutters" still used in places like New Orleans. These are installed (as other posters have mentioned) outside, and typically hinge at the top, with slats to allow air circulation that are angled to keep the sun out in the summer and allow it in during the winter (when the sun is lower). Another advantage is that they can be lowered to physically protect the window during periods of high winds.
Here's a photo from a contractor in New Orleans (LAS Home - lashome.com, with whom I have no affiliation):
Set a fan on the floor to blow toward the ceiling. This will disturb the "heat dome" in the smaller room and let cooler air in.
Everyone here seems to assume that the heat is coming from the windows. While I suspect it's part of the issue, I doubt it's the main one.
Depending on the room/house setup, much of the heat may be in the attic and it's simply radiating down through the ceiling later in the day because the attic has so much stored heat. The other rooms may also be receiving the heat, but are adequately ventilated/cooled with a central A/C.
The simple "solution" if this is the problem is to add a box fan or a fan to circulate central a/c cooled air into the room from the bedroom.
The better/more permanent solution is to check/fix the insulation between the attic and the room. Also insulating the attic from the roof would be a better solution to keep the entire attic cool so there's not a load of heat getting stored in the day and released in the afternoon/evening.
