Dude.. I know it might sound a bit lame, but it works like a charm.. If you have your own room, and dont want to spend too much on sound proofing, I would suggest Thermacole and Thick Curtains.
For Starters, you can have a fabricate a tightfitting sceen of thermacole for your windows and a snap-on screen for your doors. The fabrication of the frame and all wont cost much and if you want to, you can make the frames foldable so that you can stash them away proper.
Also, using curtains mage of heavy cloth would coupled with these usually do work wonders. If you want even more sound damping, you can also look at using a carpet on the floor.
(all these work if your room is not very big. If it is huge, you might have to look at proper sound proofing)
Cost of sound proofing vary depending on the materials used. Using Glass will be the costliest. A wooden or aluminium frame for the windows with a thicker glass on the outside and a thinner guage glass on the inside with a gap of atleast 5cm between them.
Plywood would be the next cheapest, followed by Thermacole. Thermacole works out very cheap, but you might lose out on the durability front. But again the advantage is, once you get the frames made - the rest is do-it-yourself, and you can add those thick curtains anytime..