I want to convert my room into sound proof room, as I watch movie on my PC. I want to have a theater like effect so that I can watch at high volume.
For soundproofing rooms to act as recording studios Acoustic Foam is generally used. You can get boards built incorporating foam into reasonably inoffensive panels, or you could just use it in its raw form if your main aim is just soundproofing. Rugs and curtains also help cut down sound.
You can do similar things with the floor and ceiling.
Of course doing this will make your room very dry acoustically, so unless you have the home cinema in use it will not be as nice a room for normal purposes - sounds will be deadened etc.
Finally - the usual caveat: watching at high volume is never recommended :-)
It depends on how much work you want to do. Roxul makes a product called "safe and sound" that is a sound deadener and placed in the wall cavities behind the drywall.