Putting up a curtain rail on a dormer wall
Windows need framing around them, to support the hole-in-the-wall the window represents.  This means that support framing (IF you have wooden framing) will be immediately to the left, right and above the window, within the first several inches.

Small test nailings can be done in the area in question, just deep enough to prove wood-or-not.  Drillings with small bits can accomplish the same thing, as well as making a pilot hole for a screw.  

Failing-finding-wood, anchors of various configurations will support the screw(s) in drywall (also known as plasterboard, wallboard, gypsum board, or gyprock), such as: