You can't attatch a curtain pole to the inside of a bay window, as there will be a large gap on either side of the window frame, but you can fit one on the outside of the bay, the pole should come with wall fittings into which the pole with the curtain rings will attached fit, and this screws to the wall. If you want to keep the bay a feature, i would suggest blinds, perhaps using the curtain pole to hang curtains tied-back as an outer feature.

Try a very thin tension rods.

iv got a bay, and we use tose bendy plastic ones, but to be honest it looks horrible, as it bends in all the wrong places and also they often fall down bacause of where they are bent. a lady is coming to my house tomorrow to fit roman blinds and it is only costing me £90 which is definately worth it if it means me not having to look at the horrid bendy pole xxx

Argos do a bay window curtain pole: http://www.argos.co.uk/static/Product/partNumber/6232920/Trail/searchtext%3ECURTAIN+POLE.htm Don't know how well they work as I've never used them but they might solve your problem