If you are going to add curtains any molding you put around the windows will be wasted. Curtains will hide everything except the stool and the apron at the bottom of the window. Crown molding is worth the expense.

The simple GRID PANELING shown in your link can be done by attaching 1/4" or 5/16" plywood to the wall then putting 1x4s in a grid pattern over that. I would only do one wall as an accent to see whether the style fits your home. Maybe the wall behind the TV, though such paneling might be better in a dining room.

Not sure I'd do wainscoting...I think instead I'd do crown, window and beef up the baseboard.