Hi, Sparkle. 
I live in Taiwan part time, so I completely understand your issues with concrete. 
Find a building supply store in your city. They ought to have insulation materials - fiberglass, denim, rock wool, etc. Then, either wrap the insulation panels with fabric or hire a furniture contractor to do it. DIY ideas: fill BIG ratan baskets with old pillows and place them in corners to act as bass traps; put a couple tall indoor plants in the room (remember to water them!); hang a cloth or cotton rug on the wall behind your listening position.
Until one actually lives in a concrete building with all four walls, ceiling and floor made of concrete, it’s hard to imagine how acoustically challenging it is. 
Michael