While there are several cornice how-tos available in the blogsphere, I am going to take you through mine since I utilized a technique I did not see any where on the web.
I took measurements of the two windows in my breakfast nook. Using 1/4 plywood, I cut two pieces for the side and the piece for the front using a jigsaw. Remember not to cut the front panel the exact width of the window, you need to make it slightly larger for viewing aesthetics and structural purposes.
Using "L" brackets which I found at Home Depot I attached the two side pieces to the front panel. At this point you will have a the skeletal structure of the cornice. As a side note, the "L" brackets come in a package with screws or without. Depending on the thickness of your plywood you can decide on which to purchase. Since my plywood was only 1/4 I opted for the "L" brackets with separate screws.
When the boxes were built, I brought them into the breakfast nook and marked where the holes would need to be drilled in order to fasten them to the current hardware that was mounted to the wall. I decided to use a but and bolt to fasten the cornice to the hardware.
Once done with that I attached batting and fabric, which I found at Hancocks Fabric, using a staple gun. Then I used Scotch Blue head Painters tape to mask of straight lines for the nailhead trim. Even though I used Dritz Home Nailhead Trim in Antique Brass I wanted to make sure the trim was as straight as possible.
Once I finished hammering in the nailheads on the front panels, I attached the cornice with the bolts. For now I have left the sides bare so I could get them up and bask in my moment of glory.