I had this problem when we had new windows put in especially the bay windows which are curved. At the time my niece worked for Mostyns the curtaining people and she got me some wonderful velcro stuff.You stick the velcro strip on to the window frame...it peels off again if you ever want to change the decor or move etc.This strip has the velcro"hooks" on it.
She then sewed rufflette to the nets and gathered them to the width and I just stick them up. Brilliant ..I just peel them off wash them and stick 'em up again.Mostyns are all over the country so if you have one near you they may stock this.
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http://tinypic.com/k2jyiu.jpg
Here are a couple of pics so you can see what it looks like.