Essentially any conductor will act as a magnetic shield. The best conductors are metals so you could try some kind of metal foil. However the results may be pretty variable as different metals have different properties.
It is worth noting that magnetic fields drop off as a power law. And therefore moving your speakers twice as far away from your monitor will drop the magnetic field experienced by your monitor 4 fold. This will be easily the cheapest and most efficient way of stopping the distortion in your monitor.
WARNING: The longer you leave your speakers near your monitor the more likely you are to magnetise those piece's of metal in your monitor that can hold a magnetic field, iron etc. once this happens you will have permanent distortion on your crt. This is why you are not advised to put speakers near TV's etc, though modern CRT's should not really suffer from these problems so much due to better design/choice of materials mainly because of the speakers the boxes normally contain. the magnets in HiFi speakers tend to be a lot stronger though.
Is it just me, or does something smell suspicious about all this?