Let us begin!
Create a new document of a desired size and fill it with black by using Default Foreground and background Colors(D and the Paint Bucket Tool(G) and click on the workspace. This is usually the first Step for many other drawings, so you should get used to this part. You can also add a gradient.
Now duplicate this layer by going to Layers > Duplicate layer… or just press CTRL+J. I recommend you learn shortcuts, they are a life saver.
Grab the Rectangular Marquee Tool (M) and draw a rectangle to cover about 80% of the "Background copy" layer like below.
Go to Filter > Render > Fibers… Set the Variance to about 23 and Strength to 5. Click OK. Now press CTRL+D to deselect.
Now go to Filter > Blur > Motion Blur. Set Angle to 90 degrees and Distance to 500. Should look like the image below.
Open the Levels window (CTRL+L) and play around with the cursors to give it more contrast.
Double-click the top-most layer in the layer palette to bring up the Blending Properties window and check Color Overlay tab. Click that tab and set Blend mode to Multiply.
Grab a color of your choice. I used (#ff0000 - default overlay color).
Duplicate this layer (CTRL+J) and move the curtain on the new layer to the right. Then duplicate it one more time.
Grab the Warp Tool (Edit > Transform > Warp) and curve up the top-most layer image. Then move it to the top right like below.
Open the Blending Properties window (double-click layer) and check "Drop shadow". Use the settings below.
Duplicate this layer, then move it to the top left corner. Now go to Edit > Transform > Flip Horizontal. Reposition it to look natural.
Go to layer palette and create a new layer group and drag all layers in it. Drag that layer over the "New Layer" button.
Merge the new layer group (select group, press (CTRL+E). Turn off "Group 1? layer group. We do this so we can be able to edit them later of we need to.
You can also take the idea even further and make those cheesy colored drapes by adding patterns over them like below.