i am actually in the process of doing this myself and have pretty much come up with a plan for mine. i am going to purchace decent curtain rods (bronz in color) if style doesnt matter to you than you can goto walmart and get 97cent universal ones. Then i was going to get some fabric and just fold one end over and sew it. I dont know what your installing the curtain on if its just glass you obviously cant do it like this. my cage is solid oak with a glass front. so i can just screw these in like im putting them on a regular window. Maybe if you have one of those metal tops you can try to fasten the curtain rod to that somehow? Or perhaps fasten a small wooden block to the glass with epoxy then attatch the curtain rod to that?
Took a yard of fabriccut it straight up the middle and hemmed it on the two long sides and what would be the bottom. Turned over 2 inches on the top and ran two lines of stitching about 3/4 of an inch apart for the rod pocket. Took command hook and small dowel rods for the rods and fed the dowels thru the top between the two seams, hung on the command hooks, evened them out and pulled the pleating at the top up straight. Very easy to do. Here are some pictures from Geico and Emily's thread showing her curtains if you scroll down the page.