Thank you for the link, Mark! I checked it out, and the shipping is almost $200 for 6 panels to Canada

I am hoping to find a way to go a bit cheaper, but will keep this in mind
I figured that they could at least tell you what to do, and how best to do it, if you wanted to pick their brains, and pretend to be a customer ready to place an order. I wasn't suggesting you buy anything from them... but they'd know how and what to get...
I did not even think of that, I am going to call them tomorrow. Thanks for that idea!
From your earlier post, I was assuming you were building a new house, but if you've got a single paned window, it's an older house, unless it was just specked that way...current builds are with double paned glass for thermal efficiency.....
Although sheetrock is considered a hard surface, MDF is something that would be harder & more sound reflective, though adding additional screws or nails to sheetrock will add an additional hardness to it (sound wise), the MDF is still going to be a more sound reflective material and a material that does not lend itself to the same types of finishing that drywall/sheetrock does.....
Depending on the way this house is constructed, you really might want to consider having a triple paned window made for the opening, then take the existing window out & replacing it with the triple paned unit.....it will save you $$$ in the long run.....
Unless these pony walls are already there or you just like the appearance they offer, I'm pretty sure they're not going to offer the benefits you're looking for.....
Good luck.....
I reread my first post and it did sound like it was a new house. It is just a new house to us, it was built in 1975. The pony walls are already there, unfortunately.
I will look into a triple paned window, we could probably do that by this summer.
When you are mentioning that adding more nails to sheetrock will make the sound harder, I'm not sure I know what you mean. Harder as in louder?
I don't really care about the finished look right now, we will probably hang blankets on the walls as well over whatever we put up just as an added measure until we can figure out a more permanent solution.
Thanks for the good luck wishes, we are going to need it