Lizzy is right. The cheapest (free!) way of making a play pen is to get three or four same-sized cardboard boxes, open them up flat, remove the outer pieces with scissors and either tape or use strong bull clips/office clips to hold the parts together.
Just takes half an hour to lay everything out and then you can fold it up and store it. You could still use the barred pen as a barrier on the outside and put the cardboard on the inside. This would make it double secure and also prevent climbing/bar chewing! x