Canvas drop cloth- like the kind the painters use. I bought two cloths at Lowes for $13.98 a piece, a $28 solution. I had purchased a 100"+ curtain rod at Ross for $14.99 and mounted it on the back of the pergola. The drop clothes were a bit too long, so I made a giant 12" hem on my awesome Brother sewing machine in order to hang them.
Next I hung them up, used some rope from Lowes to tie them back to the posts. And voila! Our patio instantly morphed into a fancy little cabana :)