Measure window to determine how long and tall the cornice will be. Most are about 12 inches top to bottom.
Cut a front piece and two return pieces from plywood or particleboard. (The return is the short side piece that makes the cornice stick out from the wall. They are usually about 6 inches.)
Attach the returns to the front piece with a pair of L-brackets at each joint.
Wrap the cornice with batting and staple in place at the back of the board. Wrap the batting with fabric and staple in place at the back of the board. (You will need about 3 1/2 yards of fabric to cover a cornice.)
Attach the cornice to the wall with more L-brackets.