Decent audio in terrible room?

This is either a challenging question or a very easy one (the latter response being "use headphones"). I am looking to build a from-scratch system (phono and CD) in a real shit room. It's a tiny library-type space, speakers will inevitably sit on top of a short bookshelf up against the wall. Listening will be from within 5 feet or so. I am a complete novice in tricky situations like these - how do I go about making some sweet, low-power, close-range music?
Oh, and did I mention the limited budget?