If you want to keep out the cold in winter and the heat in summer, you will need lined draperies to cover the entire window. Is the wall on the other side of window the same measurement as the wall we can see? If so, I would recommend going wall to wall with the drapery so you can open the drapes completely off the window. The curtain you showed from Macy's is not really appropriate, since it is not lined, and it is a grommet top.

With your furnishings, I would do a pinch pleat on a traverse rod, or hung from rings on a decorative rod. The type of rod you choose would dictate the length of the drapery.

The pattern you showed from Macy's would work, but I would do it in a blue print, as close to the wall color as you can get, or the blue from your bedspread. The reason I say that, and not the brown, is you don't really want to feel like you are living in a cave, and I think the dark color would close in on the room.

Could you post a picture of the other corner? If the wall extends more on that side, then I would just have the rod go the same distance on the right side as the left side.