Here are some PortWindowGlass.com expert tips on how to make you windows soundproof.
SOUNDPROOF DIY GUIDE:
Make sure all edges around the glass and frame are appropriately sealed.
You can purchase acoustic glazing tape as a simple solution.
Try framing in another pane of glass with a large air gap between the existing glass.
Use a thicker pane and or a laminate for better results.
Replace the whole window with a specialized window rated for high-level sound attenuation
All these tips are if you would like to keep the window and not cover it up. If you want to cover the window, you can board it up and put acoustic attenuating foam board in between.