tools needed, jig saw, glue, 1/4 inch ply wood, and 1x4 for corner bracing.
Each window should have one valence, and each valance will have three parts, the sides 2, and the front. decide how wide the sides will be and then cut the front. Use the 1x4 to help mate the sides together. Do not nail into 1/4 plywood as it will crack.
Assemble the wood part, install the cotton backing, then attach the outside material. Install the valance with small corner brackets.