You aren't going to be able to do it such that they can practice at a reasonable level.
You should get on google and do some searches. There are a few things that you can do to try and deaden the sound, but keep in mind that any conduit between that room (vents, pipes, windows, etc.) and anywhere there is contact from the inner surfaces of the room to another surface (walls, floor, ceiling). Basically every part of the room will want to transmit sound.
You can build a room within the existing room that is floating on a sheet of neoprene and use an exterior solid core door for weatherproofing, but you will still have to have vents to take air into the room.
You can hang an extra layer of drywall on the existing one.
If your house is strong enough, you can fill the walls with sand in addition to the doubble layers of drywall.
If there is a suspended ceiling, increase the number of wires supporting the ceiling so that you can replace the normal "acoustic" pannels with drywall. Place 12" bats of fiberglass insulation above that.
You can put foam on the walls, but that will only be for the benefit of the musicians.
You can caulk all joints on all of the walls (best done on each layer of drywall).
Basically, think isolation, density, expensive, and destructive.