If you have ever installed miniblinds, good for you. I recently moved into a new home and had a hell of a time getting these things installed. Considering myself relatively handy with a power tool I found this odd.
Further investigation revealed that the problem was with the window frame. You see, my windows are surrounded by a nice sharp edge. To create this edge, the builder uses a metal strip on the corner (drywall edges are not so nice). The problem is that the crummy screws you get with the blinds are nearly immpossible to get through this metal strip.
The solution, while obvious now, wasn't for the first few windows...
You can either use a drill to poke through the metal or just a nail. The nail has the added benefit of holding the bracket in place so that you can similtaneously create a second hole while still keeping things lined up. Obviously, it helps to choose a nail that is a little narrower than the screws you will be using ;).
Super simple, huh?