dont know where you are but : you can buy sound proof plasterboard called soundbloc in uk. it is very cheap, i used 30 sheets of 8` x 4`
http://www.diy.com/diy/jsp/bq/nav.jsp?isSearch=true&fh_search=soundbloc&x=11&y=14
they must have it in usa too somewhere, you can buy rockwool soundproof insulation too. i built a room inside a bedroom using 1/2" soundblock plasterboard on top, inside, and outside of a 2" rough timber frame, i layed two layers on the floor too on top of each other (neighbours underneath and above), you must fill any gaps holes etc before you cover the walls in plastic, the decibel drop is absolutely amazing. there is a gap of about 18" away from 3 walls so i can maintain the window.
i built a door from 3/4" mdf two layers with one layer soundbloc in between, the door is smaller than the door frame and the frame is 8" above the floor, i laid thick plastic sheet on the floor 8" high and sealed the whole room. here is some pics.
picture 1 is the gap to the left when you enter original bedroom between original wall on the left and the grow room wall on the right, (the black squiggle is where i have hidden my new electric consumer unit behind black felt tip), picture 2 is the internal room door frame and you can see the 8" rise above the floor for flood prevention, picture 3 is the inside room door closed ( i have changed the locks to a sealing system), picture 4 is the bedroom door, picture 5 is to the right after picture 1 original wall on left, grow room on right, picture 6 is the door make up, you can just see the internal soundbloc layer between the mdf,as i have taped the edge with aluminium 2" tape, picture 7 is the door seal, ordinary stick on frame seal tripled, picture eight is between window box and internal room, 9 is hinge (x4), 10 is window box with fan intake flange with ducting slipped off so you can see the daylight shine in this set up is soundproof, believe me.
i can show you more pics of my soundproofed fans inside the room too. i will show you the amazing home made sealing locks i made for the door, when you lock it from the outside you can actually feel the pressure as the door is being pulled and the seal is being squeezed really tight between the frame and door, with 4 locks, 1 at top, 2 at right side, and 1 at bottom, 4 hinges on left side.
well soundproof enough for our needs, wink,
if its a rock band you want it for like the guy that posted below me, that can be done too, but at a serious cost.
this link was the result of an experiment to quieten church bells in english villages.
it will give you some great ideas about soundproofing materials to use, just scroll down to parts 4, 4.1 and 4.2 before you read it all.
http://www.odg.org.uk/pdf/leaflet_6.pdf