With the columns there, you will have a hard time creating an enclosed, dedicated space. Moving them is usually an expensive, though worthwhile, option.
One option I might look at would be to put the screen on the wall outside the furnace room labeled with combustion grills. You can use in wall speakers behind an acoustically transparent screen. Stick the sub in the corner. Downside is that you would be forced into ceiling mounted surround speakers, but it's not the worst thing in the world.
Is it solipsistic in here, or is it just me?