I have been searching google and I also got some answers but they didn't satisfy me .Could someone answer it in a "native" way .
I would use "in the room" if the object, event or whatever I was specifying was actually located inside said room.
"I think James is in the room. I don't see him out here."
I would use "at the room" if the object was located outside or near the room, but not actually in it.
"James is at the examination room. He is going to wait for us before going inside."