Remove the existing rod and replace it with a double curtain rod set. Unscrew the mounting screws with a Phillips-head screwdriver and remove the mounting brackets. Use the existing holes or hold the new mounting brackets up to the wall, check for level and mark each screw hole.
Fit an electric drill with a bit one size smaller than the mounting screws. Drill pilot holes through each screw mark not backed by a drywall stud or window trim. Tap drywall anchors into the holes.
Screw the double rod brackets into the trim, stud or anchors.
Thread the back or smaller rod through the rod pocket of the curtain panels and hang the rod on the back or inside section of the mounting brackets.
Thread the front or larger rod through the rod pocket of the valance and hang the rod on the front or outside section of the mounting brackets.
Evenly spread out the panels and valance across the rod as desired.