Soundproofing (ie, making the room such that little to no sound gets in or out)is a virtually impossible task. You can effectively acoustically treat a room using, primarily, a combination of high and low frequency absorption. However, bass frequencies have very high energy and pass through even thick walls very easily (ie, your neighbors will still be able to hear you playing despite your best efforts). Read the articles at the following site: http://www.ethanwiner.com/acoustics.html
Also check out the "Studio Building and Display" forum at this site for more details.