In Dungeon Keeper, the Hero Gate isn't a room as such, it is a magical portal through which Heroes can enter your dungeon. Once certain criteria is fulfilled, Heroes are flung out of the Hero Gate (not dissimilar to how Imps are spawned with the Create Imp spell.) and form a party to storm your dungeon. There is no way to disable these gates, so make sure to defend these weak points with Traps and Doors as well as Guard Posts.