Bay windows create a real problem in that it can focus the sound from the window to a point. In this case it's near the listener and creates both a phase shift problem and impedes the ability for the speakers to image properly. You might think that a bay window on the side wall would be less of a problem, but in fact in can throw off the balance of the soundstage. Bay windows should not be used in new audio room construction, but if a bay window exists, it needs to be acoustically treated with blinds or drapes. Which you choose will depend on the overall absorption of the room, aesthetics, and location of the window.