ADDED: oops, he has a small room to begin with... NEVERMIND (am leaving the below for others who may access to a big room).
Best real solution i have used is a room within a room and it aint cheap as Sonex or other solutions. Basically, at one place i lived i played with the maintenance guys of this 200+ apt 10+ building complex. We had full exclusive use of the second recreation room. So what we did is build a room INSIDE the main recreation room. Naturally the inner room had all the sound while the air and secondary (outermost) structure removed the remainder. You could virtually not hear anything from outside the building.
It could be easy/cheap if you can frame, loosely yet fully insulate between the wall and throw up sheetrock yourself. Added benefit is you can run a separate electrical distribution system and wire outlets where you need them. As always, follow ALL building codes, inspection, etc.