FatBoy
Egg cases are useless, a myth really. Do a search on the forum, there have been multiple threads on the topic
Riaan
First thing is, there's a difference between acoustic treatment and soundproofing. Egg cases works for neither. Check out this forum where Alan and the other experts gave me some advice. There are also lots of resources on the web. All in all, it's quite and undertaking to soundproof a room, and it's not cheap.
In short, a brick walled room will need attention to the doors, windows and ceiling: double doors, double windows and a hanging ceiling. And all gaps sealed airtight. Then you'll need aircon...
Once your room is soundproof, you'll find that music doesn't sound great if the room is rather empty. That's where acoustic treatment comes in - a whole new and complicated topic.