It starts out easy enough.  The valance just attaches to the aluminum headrail with a clip and is tightened into place with a screw that fits into the installation slot on the headrail.

Trouble is that the installation bracket has a lower profile than the valance clip.  

So, if the bracket is fully recessed into the window frame as shown at right, you will not be able to attach the headrail to the bracket.  The Valance will interfere with the installation

There are a couple of ways to deal with this.  First is to use the Valance Bracket Shims (Part number 5908237000) for shades that must be fully recessed.   The shims should be provided with your shade if you have ordered the optional valance.  To be sure you get these, request them at the time the order is placed.  Depending on the type of window into which the shade is being installed, you may need more than one shim per bracket.  The shims may also be used to align the brackets for windows that are not level.

If you find that these shims are not included, improvise with washers or other shims you may have on hand. Shimming will help you to space the bracket in a way that will allow the valance to hang properly without interfering.

Another way to handle the valance is to to simply install the shade forward by aligning the straight edge of the front of the bracket with the front of the window frame, allowing the prongs to protrude further into the room.  While the headrail is slightly out of the window, the shade will be well-aligned with the front of the window.