Many routers have an option to login to a VPN. Then all traffic that goes over that router to the internet goes over the VPN. Theoretically something like that should also be possible with a Linux server if the server is local. With this setup you shouldn’t need to configure the VPN on your local devices.

Certainly not the cheapest option but there are special windows for soundproofing.

https://www.houselogic.com/remodel/windows-doors-and-floors/soundproof-windows/

I can’t believe hat curtains can help much with soundproofing.