Living in Northern Michigan, with all it's wind & snow, I decided to make quilted drapes for my windows. Not only did I do drapes, but swags and valances. They came out wonderfully warm, unique, and draft-proof.
I used lightweight felt that you buy on a roll, for the batting. It dries quickly, is light but durable, easy to quilt, machine washable, all the good stuff. I used tabs to put on the rod, which carried the weight, slid easily, and still looked like that was what should be there. I would be glad to share any other help if you'd like. Have fun.