I work in the commercial windows industry. My background is in Structural more than Thermal, but the principles are pretty straightforward.
There are two primary forces at work when people talk about thermal efficiency of windows: conduction/convection and radiation.
Conduction/convection is the transfer of heat through the materials of the window framing and the glass from direct contact with air and/or materials of a different temperature. This is much more critical in colder climates where your differential temperature between the inside and outside is more extreme than in warmer climates (70 degF inside – 20 degF outside > 100 degF outside – 70 degF inside). This is combatted by using multiple panels of glass with a layer of air between them (air is very good insulator) and using strips of non-conductive materials in the frame itself (just Google “thermal struts”). This strategy will probably not get you much bang for your buck in a dry heat climate.
Radiation is exactly what it sounds like. The sun bombards us with radiation all day long and there's a lot more of it the closer you get to the equator. When struck by radiation, all materials will absorb some, reflect some, and transmit some percentage along each radiation frequency range. “Heat” is a frequency just below the visible spectrum while ultraviolet is just above it.
In a perfect world, we could make futuristic glass materials that only transmit visible light and reflect back all the energy that makes us too hot and/or ruins the furniture, but we’re not there yet. Most “low transmitting/high absorbing” windows end up being very dark while “high reflectivity” windows make everyone around them miserable from the glare. If you change the glass (again, this is probably more expensive than it’s worth) try to strike a balance in these figures.
Blackout curtains on the inside of your house will absorb most of the radiation but then dump it back into the air inside your house. This is why all the good solutions already suggested involve blocking the radiation before it hits your house/windows (using trees for shade, awnings, etc).
Funny side note, in some northern climates, we’ve gotten so good at thermal efficiency that it’s not that uncommon for buildings to ice over in sections and then threaten to fall off in dangerous levels. This used to happen occasionally in old buildings but it’s a whole new level with modern buildings. It’s completely changing the way we have to architecturally design our buildings.