Most enclosures do not cover the spindle, which is usually the biggest noise producer. I would look into vinyl or fiberglass panels. Double wall with air space or insulation would be ideal. You can always add extra insulating material to the outside as needed. Any windows will need to be double pane. Single pane just acts like a big drum and you won't get much noise reduction.
As far as filtering, I recommend some type of filtering system that can remove coolant droplets and let them drain back into the machine.