I measured the window and went to Lowe's and these boards. They were already 8 inches wide and about 3/4" thick. I think they were about 8 feet long, I didn't measure that, I just know they were at least 66" because that's how long I wanted the cornice board to be (about 3 inches on either side of the window).
I measured, marked and cut the wood. I started out using the hand saw because it was just four cuts and I thought it would be quicker than setting up the table saw. It was not.
Joe was hovering - he was concerned I might hurt something, possibly myself, in the garage. Anyway, he offered, so I gladly let him run the boards through the table saw for me. I have used that tool before... no, really, I had it before we were married, and I used it a lot, back in the day. :-)
I (Joe) cut two long pieces the same size (66") for the front and the top, and then two side pieces (about 5" - I can't remember).
I used L-brackets to connect the pieces.
Ta da!!!! I LIKE IT! I made it big enough that I could mount a curtain rod in it and hang curtains behind it. I haven't decided if I want to do that or not.
I know this is not a detailed tutorial - it's more about "YOU CAN DO IT" than actually showing you how. Don't be afraid - just jump in and try - and don't forget your safety glasses!
(Disclaimer: I was just winging it on this project - I didn't want to over complicate it. It looks good, but if you want to build one and have it look "professional," I recommend going to the DIY Network website - after I wrote this, I found a good tutorial there.)