The silk one here is shown with a french gathered shade. (If and when I have time, I'd like to add a fringe trim to the edge of the swag.)
While tailored, pleated swags are a bit more involved and are also usually paired with jabots (pleated side pieces), a scarf valance or swag is quite easy. Simply hang a length of fabric over a decorative rod or on tie backs or swag holders. Gather the fabric to create soft folds, pull to make relaxed lines across the top.
To make a swag or scarf, measure your window's width and add two times the length you want the swag to hang down the sides. Add an extra 12"-24" so that you can pull the swag to "sag" in the center. Hem up each end. Ideally make a seam on each side unless you have a very finished looking selvege (the sides of fabric that are tightly woven to prevent unraveling). Done.
You may also want to sew two pieces of contrasting fabric together so that one shows behind the other when you hang your swag. Add trim to the inside edge to create more color, texture, and luxury. Cut the ends at an angle for added flair, especially as you lightly gather or fold your swag before hanging it. Lace and voile make beautiful sheer scarf valances.
If you need more step-by-step instructions, I won't recreate the wheel. Visit this site for a complete how to.
Need help hanging it? Look here. (It also provides installation instructions for swags and jabots.)
If you ever need a simply elegant window treatment and lack time and money, turn to a swag or scarf valance. You can't beat the simplicity or the rich, soft look.