The material is called shielding. A small device is a shield. Bigger devices designed to isolate a large volume are called Faraday cages.
A Faraday cage operates because an external electrical field causes the electric charges within the cage's conducting material to be distributed such that they cancel the field's effect in the cage's interior. This phenomenon is used to protect sensitive electronic equipment from external radio frequency interference (RFI). Faraday cages are also used to enclose devices that produce RFI, such as radio transmitters, to prevent their radio waves from interfering with other nearby equipment. They are also used to protect people and equipment against actual electric currents such as lightning strikes and electrostatic discharges, since the enclosing cage conducts current around the outside of the enclosed space and none passes through the interior.
If you are trying to block RF from being transmitted by a wire, that is an RF filter. The little lumps on your phone charger are called ferrites.
A ferrite bead or ferrite choke is a passive electric component that suppresses high frequency noise in electronic circuits. It is a specific type of electronic choke. Ferrite beads employ high frequency current dissipation in a ferrite ceramic to build high frequency noise suppression devices. Ferrite beads may also be called blocks, cores, rings, EMI filters, or chokes.