Hi ideamom,
Love that set -I've looked at it before. The sheets are the same price regardless of size, so I would order king size. How many windows are you dressing? If you want them luxurious, I would use one king sheet per panel. Assuming you have standard windows with two panels per window, that would be two king sheets per window. A king mattress is about 80" long, so I imagine a king sheet must be at least 100" long. That length will give you plenty for a casing at the top and a nice deep hem. If you don't care about the panels being quite as luxurious, you could have the seamstress cut a king sheet right up the middle and use one sheet per window. You could talk to the seamstress before ordering to see if she would be willing to make some panels out of the fitted sheet. It can definately be done, but it will be a bit more time consuming, and perhaps more expensive. I guess you'll have the labor price against buying fewer sheets.
You can use the fitted king sheet for the shams. You should be able to get two shams out of one fitted king sham, and even have enough to make a nice flange on it.

Idea Mom. I've sewn for my home before using sheets. I agree since they are the same price for each size, get the King! If you already know who will be sewing them for you I'd ask them since most seamstresses will be able to give you that information from a calculation of the size of your windows. Most flat king sheets are 108 inches wide by 102 inches in length. Each flat sheet would make two panels to fit a window up to 36 inches wide and the length you mentioned of 87. If the sheets have a nice sized hem at the top your seamstress might be able to use that for the casing and header if that's the style you are going with and not using an overly sized rod such as a continental rod. As for the shams the could be made from the king sized pillow slips and a bit of fabric from the fitted sheet. Ofcourse that depends on the style you want the shams to be. If you have a sewing machine this is a very easy job.

How large are the windows in width, and how many?

You could do the sheets without sewing at all. A rod pocket as justgotabme suggests, or clip rings, and fold over the top hem of the sheet to create kind of a mini valance at the top. Use iron-on hem tape for the bottom to shorten. Use the king pillow cases for shams by inserting a queen or standard pillow, then using drapery cords with tassels (at the fabric store ready-made) to tie up the open ends. Or use iron-on velcro on the insides of the ends and close up the pillow that way.