Re: Fire resistant closet...
Billyboy- great question (see, it's possible to address a question without putting the "asker" down). If you are thinking about doing something like this you should look up UL rated wall, ceiling, and floor construction systems.
Many have said here that the location of the safe is just about as important as the fire resistance of the enclosure. As in, put it in your basement along the end wall because if it's in the center and the floors cave in on it it'll have more fuel around it.
My take (architect) is it would be good to build a closet around the safe and would advise using a known rated system (couple layers of sheetrock, offsetting joints, and providing an airspace around the safe. You might want to consider a pair of doors if the safe is wide and you ever want to get it in/out later. Those doors should be UL rated too, but you could get away with steel if you are tapped out. Using intumescent paint on the walls would help too.
Good luck.