All the unnecessary loud music can be done away with by using techniques and materials which can turn your room into a sound proof one. However you need to consider the fact that soundproofing a room is easier and effective if done in a new construction. The immediate step to be taken is to get all the plumbing and electrical wiring soundproofed. The drywalls should be hung on one side of the main wall to close the room and at the same time have access to the wall interiors. Installing fiberglass insulation in the walls is also an effective way to reduce the noise pollution.
You could also put up manufactured soundproofing wall coverings like a Pyrotek which can be easily bought from lumberyards, drywall supply house or any home remodeling centers. For an after construction soundproofing you can simply cut off the drywall from one part of the wall for it to be soundproofed. Small holes can be created in the drywalls which can be then filled up with expandable foam insulation or cellulose.