I assume this wood framing is the wall stud.
My room looks like as follow with concrete walls
In order to soundproof external noise into my room (red circle), do I need to build wall stud?
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The way I have seen it is to use 2 X 6 on each end and floor and ceiling of the wall then build two separate walls with 2 X 4. Stagger the 2 X 4 in the walls so the only solid contact for sound conduction are the 2 X 6 ends. Fill the space ( now 5.5" instead of 3.5" ) with insulation. The result is little solid contact ( at the ends) for conduction and a thicker sound absorbing insulation. I was describing a partition wall , but essentially you could put the same thing against a concrete wall ; The important factor , you don't want 2 X 4 touching both wall surfaces as they would conduct sound.