Twist drill, preferably M42 HSS (often called "cobalt steel") will do the job. Assuming the steel is beneath plaster or plasterboard maybe drill down to that with a masonry bit first (to save your HSS bit). Drill at 600 to 1000 rpm or so, no faster. If drilling larger than 4 to 5mm pilot with a smaller diameter bit first then switch to the right size.
As an aside, it is probably going to be more productive to fix a softwood batten (2 x 1 or 3 x 1) to the wall and then fix your curtain track/rail/blinds to that
BTW what fixings were you going to use to attach the gubbins to the lintel, and do you know what type of lintel are you dealing with?