Check your material settings (both the 'material' and 'texture' settings) as there are quite a few to do with 'transparency' and 'alpha' that you have to have active in order for it to properly regard the surface as not being solid (which is what it's doing right now).
One thing I would add is that you'll need to add 'walls' to the window so you get 'proper' lightcasting on the curtain surface, I'm assuming you're rendering like this to get a more 'correct' shadow cast over a texture?.