Formal:
* J'ai des rideaux bleus. (This is the most common and neutral way to say it.)
* Je possède des rideaux bleus. (This is a bit more formal and emphasizes ownership.)
Informal:
* J'ai des rideaux bleus. (This is still acceptable, but it can sound a bit casual.)
* Mes rideaux sont bleus. (This literally translates to "My curtains are blue," but it's a common way to say "I have blue curtains.")
You can also add a little more detail to your sentence:
* J'ai de beaux rideaux bleus. (I have beautiful blue curtains.)
* J'ai des rideaux bleus foncés. (I have dark blue curtains.)
* J'ai des rideaux bleus à fleurs. (I have blue curtains with flowers.)
Ultimately, the best way to say it will depend on the context of the conversation.