The general situation was Snowden entering his password at that time, and he wanted to mitigate visual surveillance, let it be by observation or (hidden) cameras. It seems, Snowden didn't trust anything but his own laptop (if at all) during these first day(s) of contact with the journalists.
He also offered the blanket to the others in the room when they were entering their credentials into their laptops, but they refused, probably regarding this as being overcautious.
The Exact Scene
(Original footage from Citizenfour by Laura Poitras)
37:35 [Snowden pulling blanket over his head/laptop]
37:44 Greenwald: Is that about the posibility of...
37:47 Snowden [still under blanket, interrupts] visual, yeah visual collection
37:50 [Greenwald looking around the room, seems not rather sure what to think and say]
37:55 Greenwald: I don't think at this point there is anything in this regard that will shock us. [laughter in room]
Some general chit-chat about never leaving devices alone any more follows.