When you soundproof a room, you insulate it so that less noise can be heard outside it. A musician who records albums in her apartment might soundproof the room in which she keeps her drums.
If you practice playing the bagpipes daily, you might want to soundproof your house so you won't bother your neighbors. Alternately, if you record books on tape in your bedroom, you could soundproof the room so that outside noises won't interfere with your work. You can also use soundproof as an adjective: "The party was in a soundproof room in the hotel, so we could turn the music up as loud as we wanted."