1. They are playing in the room.

2. They are playing at the room.
3. He has just arrived in the room.
4. He has just arrived at the room.
5. The thief found nothing at/in the room, so he left the room and started searching for the living room.
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Do we have to use 'in' before 'room'? What about 'at' in the sentences?

1 and 4 are correct. 5 should be in. Think of in as within.

In English, both "in" and "at" can be used before the word "room," but their meanings can be slightly different depending on the context.

1. "They are playing in the room." - This sentence implies that the action of playing is taking place inside the room.
2. "They are playing at the room." - This sentence is not commonly used in English. It might suggest that the action of playing is happening near or outside the room, rather than inside it.

3. "He has just arrived in the room." - This sentence indicates that he has recently entered the room. The use of "in" suggests that he is now inside the room.
4. "He has just arrived at the room." - This sentence implies that he has arrived near or outside the room, but not necessarily inside it.

5. "The thief found nothing in the room." - This sentence means that the thief searched inside the room and did not find anything.
5. "The thief found nothing at the room." - This sentence is less common and might suggest that the thief searched near or around the room, but not necessarily inside it.

So, while both "in" and "at" can be used before the word "room," the choice between them depends on the specific context and the intended meaning.