Hi Danny,
You can soundproof your room using relatively inexpensive stuff like rockwool insualtion and plasterboard to great effect.
The best method is the 'room within a room' which means making a new floor, walls and ceiling which are isolated from the existing ones.
The next best method is building new walls one inch away from the existing walls using 4x2" wood, and filling with 4ins of insulation. Then you fit two layers of 1/2" plasterboard, and seal all edges using silicon rubber. The insulation reduces high frquencies, and the plasterboard (mass) reduces bass transfer.
Anywhere air can travel, so can sound, so that is why you seal any edges/gaps with silicon. You can build a false ceiling in a similar way. Just make sure it doesn't touch the ceiling above if you can. Otherwise you can fit another layer of plasterboard, then use insulation to fill under the floorboards in the room above. Use silicon to fill the gaps between floorboards and skirting, and use a thick good quality underlay.
I used a similar method for my loft cinema, and it works quite well.
Go to
www.avsforum.com and look in the home theater construction forum for more info. Use the search facility to get more info on the above methods.
You can get all the materials from Wickes or B&Q.
HTH
Gary.