It's hard to make many suggestions without knowing what PJ you have and how it's set up. Unfortunately, enclosing it is probably not going to be a cheap DIY project. PJ's tend to throw off a lot of heat, and you need to maintain adequate airflow. You could probably treat the ceiling right over it with about a 4' r area of acoustic foam- that would at least prevent the reflected sound from reinforcing the noise.
In all likelihood you could probably rig up an open box, with the only closed side being the bottom. Line the inside with foam of Black Hole 5. Of course, don't crowd the PJ. This might not be very high on the WAF scale, however.
The really spendy high end rigs often have an air conditioned enclosure around the projector. Very cool, but I suspect pretty spendy.