Some years ago my hubby came across the kind the the anchor screws in. Looks kind of like a large screw itself. They work great. We get them at Home Depot, but I'm sure almost any place that sells anchors would have them.

Here is a link that might be useful: Video of how they work.

Yeah, I was just going to ask if you were drilling the holes for the plastic anchors too big. It's best to start small and keep checking. I normally make sure it's tight and tap the anchor in with a hammer. Also make sure you're using ones for the correct weight.

I would do as ajsmama mentioned and try to find a stud. I would not hesitate to mount the brackets close to the trim if that's where the nearest stud is.

I prefer the type you have to tap into the wall since they expand as the screw goes in. As shee said, the key is to make the hole much smaller than the molly, then use a hammer to tap it in place.

I've not had luck with the type of molly that has large threads. Too often it destroys the drywall (especially in older homes) and I've always had to do major patch work after using them.

If you need curtain rods, here is a nice place to get them.
See link below:

Here is a link that might be useful: Curtain Rods

First try 3 inch screws. Many times the smaller screws are not long enought to reach wood behind the drywall. If you still don't hit wood then use a corkscrew anchor. I'll try to find a link so you can see them. They can be purchased at most any hardware store. Instructions say you can drill them directly into your wall but I found it best to drill about a 1/8 pilot hole first. I use them all the time. Only case I'll use metal toggles is on a heavy draw drape.

Here is a link that might be useful: corkscrew anchors