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the essentials inside Hi thedavisfamily. Any chance you could upload some pictures?

Lyvonne
www.essentialsinside.com

thedavisfamily Sorry it's such a contrast but this gives you an idea. And privacy is definitely needed!

AMN Roman shade(s)

Carolyn Albert-Kincl Design The roman shades AMN showed you above look great. Other kinds of shades would also work, such as grass or bamboo shades. I like to use wood blinds in kids' rooms. They are practical, well priced and forgiving of a little abuse.
Carolyn Albert-Kincl, ASID

thedavisfamily Would you put 4 separate blinds/shades? Or one large one? And would you mount them inside or outside the frame or to the ceiling?

AMN It depends on the look you want to go for and the quality of the shade you are working with, i.e., the wide one needs to be made and installed especially well. Also, determine how many cords you want to deal with (if the type of shade you're using has cords), especially in a child's room.

From what I can see in your picture, I suspect that you might have to hang them on the outside of the frame.

As to whether or not you hang at the ceiling level--the look of the room overall should signal what's best. For example, if you're aching for a taller feel to the room, putting the shades at the ceiling might help give the illusion of a higher ceiling. Also depends on the length of the shades you're working with.