How do I hang curtain rods?
Windows typically have 2 or more studs on each side. Use a stud finder to ensure you are installing on a stud, then predrill with a bit slightly smaller than the solid part of the screw (not the threads themselves).

You can put a little soap on the threads of the screw if you want to try to make them easier to install, but I would focus on maintaining pressure and keeping the drill in perfect alignment with the screw. A skipping bit typically indicates that you aren't properly lined up with the screw. Also note that drill bits do wear out over time, particularly if you are skipping them on the screw head a lot, so it could be time for a new one.

See also:

What is the best technique for using a drill to insert screws?

When pre-drilling for screws, how do you determine the correct bit diameter?