What you will need:
Fabric (measure your window, and add 3 inches to each side, then double the length top to bottom)
Staple gun with shallow staples (I used 5/16" 8 mm, but I would recommend 1/4" 6mm) *If you don't have a staple gun, I highly recommend purchasing one. It is an awesome thing to have!
Glue gun (not totally necessary, but was useful when I didn't want to use any more staples)
Foam board (I had to use 3 pieces, I paid $1.99/each at Hobby Lobby)
Duct tape
Box cutter
Cheap wire curtain rod (length depending on the size of the window you're doing)
You're basically going to measure the width of the window, and apply that to your foam boards. Each of my boards were 30 inches wide. This next part may sound confusing, but it will make sense when you're doing it. The width of my window was 74 inches. I subtracted 30 inches for my center foam board, because I left that one whole, and that left me with 44 inches (which meant that I had to divide that number by 2, giving me 22 inches for the 2 remaining boards). I cut the side boards 22 inches each. As you can see below, I drew an arch on one of the side boards, and traced it onto the second so it would be symmetrical. I drew a separate arch on the middle one, using a measuring tape to make sure it was even. Once you have drawn your Pelmet design (you don't have to use this design, get creative!), lay all the pieces out how you want them.
As you can see, I used the scrap pieces of foam board for my side panels. Now you're going to go duct tape crazy!
You can never use too much duct tape...that's what's going to hold this baby together.
The piece of fabric you see on top of the pelmet was just traced and cut out. This is so if you're looking at the valance from the outside, you don't see foam board with duct tape. (This is what I used the glue gun for later.)