We bought a new home and have a problem with the cold cellar.Help!

I’d start by recommending an incremental approach. There’s no point in insulating like crazy, only to find you’ve overdone it and turned your cold basement room into a warm room.

• The main deficiency in your case is the ceiling. With nothing between the room and sub-zero winter temperatures (except some concrete and steel), frost is inevitable. I’d start by designing a strategy to get extruded polystyrene sheet foam on that ceiling. The trick is doing it in a completely airtight way given the wavy corrugated surface you’re dealing with. Without a complete air seal, moist air from inside your cold room will sneak up and around the foam, condensing into a mess between the foam and steel. That’s why rigid foam sheets alone are not ideal in your case. You’ll also have to seal around the edges of each piece using low-expansion spray-on foam you can get at any hardware store. I expect insulating the ceiling will be enough, but wait and see what this winter brings before you do anything with the walls.
• If they need work because room temperatures are still too low, rigid sheets of extruded polystyrene foam, fastened to the wall with construction adhesive, will do the trick. Just be sure to run a bead of adhesive all around the outer edges of each piece (for air sealing), plus a crisscross pattern in the middle (for strength).