Measure the depth of the window recess on the left and the right of the window using a tape measure. Note the depths on a piece of paper. Measure the height of the window recess on both the left and right sides, and note the heights on the paper. Draw a rectangle on the drywall sheet from the left side measurements using a pencil and ruler. Draw a rectangle using the right side measurements.
Measure the depth of the top of the window recess. Measure the width of the top of the window recess. Draw a rectangle on the drywall sheet using these measurements. Place the drywall sheet on a workbench or other stable flat surface. Cut the three rectangles out of the sheet using a circular saw.
Place the left side measurement drywall rectangle against the left side of the window. Screw the drywall to the studs in the wall using 2-inch drywall screws. Use a hammer drill to fasten the screws to the wall securely, with one screw in each corner and one additional screw every three inches between the corners. Fix the other drywall rectangles around the window in the same manner.
Prepare a small amount of jointing compound according to the manufacturer's instructions. Place a small amount of the compound on a grouting tool. Fill the gaps between the drywall sheets with compound using the grouting tool. Cut strips of jointing tape. Press the jointing tape into the jointing compound. Cover the tape with more compound. Allow the compound to set, then sand the surface down with low-grit sandpaper.
Decorate as required. Decoration can include wallpaper, painting or covering with plaster to better meld the return into the surrounding wall. If choosing to paint the return, two coats of paint will be required, the first as an undercoat and the second to cover over the return smoothly.