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What I am going to describe here is a window that you can make yourself. It isn't a fully-fledged studio window, but it will get the job done very well and keep the costs down. Skills required... woodwork, and the ability to plan a wood project.
First a warning...
Glass is dangerous, as you know. Handle it carelessly and it might cut you. You might even bleed to death. So don't do anything on my say-so. Make your own decision on whether to go ahead, and take responsibility for your own safety and the safety of others who use your studio. Bear in mind that there might be building regulations that affect what you can do.
Glass is an excellent soundproofing material as it is dense; you can get a lot of mass into a thin sheet. It is also non-porous, meaning that it has no holes for sound to get through.
Normal window glass is pretty good for soundproofing, especially when two panes are used in a double-glazed window.
But you can get better results with glass that is 12mm thick. This is easy to buy and not too expensive. So we will use two panes of 12mm glass for our window.
Next you need to make the frame. The frame is basically twin U-shaped channels made from wood that goes all around the glass. I'll leave the details to you, but there are some important points...
Firstly, there must be no gaps between the edge of the frame and the walls. To make sure this is so, apply a rubbery mastic to the frame before installation. You can find suitable products at a builders' merchant. You want something the consistency of molasses, and rubbery not bituminous.
Secondly, the two panes should be separated as widely as possible. 200 mm (8 inches) is good. This will give better sound insulation than having the panes close together.
Thirdly, the panes should be set in a rubbery material in the channels, so they do not directly contact the timber. You can buy strips of neoprene rubber for this. This will reduce the amount of sound vibration that couples from one pane to the other.
One more point about the structure of the frame - make sure the corners are at exactly 90 degrees. This is easy to get wrong, and if you do get it wrong then the panes won't fit!
Let's consider for a moment how the window will work...
Some sound will get through the first pane and some of what gets through will be blocked by the second. So there is a certain amount of sound energy bouncing around between the panes.
Clearly this is not good because it's going to leak. So to absorb this, the 'reveals' - the visible parts of the frame between the panes - should be lined with an absorbent material. Thick carpet is quite good for this. Make sure you stick it very firmly on the sides and upper reveal. You won't want it to come unstuck after the window is finished.
The rest is a simple matter of assembling the window, taking note of the safety warning above.
But there are a few other points that you wouldn't appreciate unless you had seen these potential problems before.
1. You might be installing the window in addition to an existing window. This makes sense because you get some free extra insulation. Make sure the existing window is sealed. Otherwise insects will crawl in, crawl around, then die with their legs in the air. Exactly where you can't get to them.
2. You may get condensation between the panes. You can combat this with silica gel placed between the panes. You will often find a sachet of silica gel in the packaging of electronic equipment where it is used to dry out the air inside the box. This is exactly what you need, although of course you will need a greater quantity.
3. You need to clean the panes very well before installation. If you don't do this you will be staring at dirt and smears every time you look through the window. Do this under daylight because you won't see all the marks otherwise.
4. When you clean the glass, mix some disinfectant in with the water. This will kill any fungus spores that might otherwise flourish.
And when all that is done, you have your double-glazed soundproofed window to admire and use. I've done all of this myself and it took me about a day on my first attempt, with a couple of false-starts and backtracks.
The results were well worth the effort.
By the way... fully-fledged studio windows have panes that are angled with respect to each other, and preferable none should be at 90 degrees to the floor. This has certain sonic benefits and cuts down visual reflections. It's harder to construct though, so take this into consideration. Also, a small additional benefit can be gained by having panes of different thicknesses.