Mine didn't come with one either. In my case a friend of the DW made us up 2 sets. One totally opaque, one sheer to allow light, but block folks from seeing in. IIRC it was about $30 worth of supplies.
I've spoken to others who just bought (or used existing) curtains and altered them to fit.
As a tip from the first one I had made, get whoever makes them to sew in a length of nylon webbing from one of those little ratchet tie-downs. We used cotton tape on the first one, the weight of the curtain stretched out so much it was useless after the first day.
Ted 'n' Laurie, plus Jackson (aka Deputy Dog, the Parson Russell Terrier 'fur kid') and, Rylie (who crossed the Rainbow Bridge June 14, 2012).