Convert the Plane to an Editable Poly (Right-click > Convert to > Convert to Editable Poly). Switch to Edge Mode and, in the Front Viewport, select the odd top edges (the 1st, the 3rd, the 5th etc.).
In the Left Viewport Hold Shift and drag the selected edges to create the top part of the curtain. Do that a few times around the cylinder (keep in mind that there has to be a space between these edges and the cylinder otherwise the two objects will not give proper results later).
Go to Modify Panel and from the Modifiers List select Cloth. Click the + near Cloth and select Group. In the Left Viewport select the vertices from the end of the curtain. Now choose Make Group from the Group rollout, give a name to the group and hit OK. Next select Preserve from the same Group rollout to make those vertices unmovable. Click once more on the Group sub-tree to close edit mode.
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