A curtain assembly (10) to cover and protect an opening in a structure, such as a window (11), includes side rails (14) which extend between a header (12) and a sill (13). A roller (19) is positioned in the header (12) and carries a fabric curtain (15). Tabs (20) extend outwardly from the lateral edges (18) of the curtain (15), and at least some of the tabs (20) carry at least one retention member (21, 22 or 23). Tabs (15) and the retention members (21, 22 or 23) are received in a compartment (39) in the side rails (14). Flap walls (40, 52) form a portion of the compartments (39) and are spaced from each other. The curtain (15) can extend through the space (56) but the retention members (21, 22 or 23) cannot. As a result, upon impact against the curtain, the retention members (21, 22 or 23) engage the flap walls (40, 52) which engage the curtain (15) and the curtain (15) is maintained in the side rails (14). Because the tabs (20) extend outwardly beyond the lateral edges of the roller (19), no additional space is taken up by the retention members (21, 22 or 23) when the curtain (15) is rolled up on the roller (19).