You will have a hard time making a sound proof room, but you can get pretty close.
Use steel studs in seperate tracks to make a double thick wall with the studs staggered and caulk all around the edges. Insulate with R-11 in the wall. Place 1 layer of drywall on both sides. Laminate a second layer on the outside and add a second layer on the inside with a steel resiliant channel system inbetween the two layers. Use flexible boots to connect the HVAC system to the room and use fiberglass duct board to form the ducts. Seal all of the penetrations into the room with caulking (outlets, Lights, etc) and provide a way for the HVAC return air to escape the room. (Avoid straight runs in the HVAC system... use a couple of bends per feed/return) Use the double drywall system with double resiliant channels for the ceiling. Finally use a good heavy exterior door with a good seal for the entrance to the room. This will give you a noise transmission coefficient NTC of around 65... you will be able to play rock-n-roll in there and it will be a peaceful quiet outside.