There is a way to get a free shed, but it takes much time and effort on your part do it. First I must say that you must educate yourself to know how to frame, set shingles, hang a door, and etc.
You can find out how to do this on You Tube. That's right, when I first started my business, I was taught how to do most of my skills through You Tube.
You can also go online and find some free shed plans available that may have minimal information about how a shed is built, but at least you can see the basic concept on how it is built.
Next you need the tools and materials. You can go around the neighborhood to neighbors and friends you know and see if they have any tools you can borrow to build your shed. Or check your garage to see if you have any tools useful to start building your shed.
Finally how can you get the materials. Well there are lumber mills, hardware stores, or local ads of people who may be giving away scrap wood, paint, or shingles. You may need to make some calls to these places to see if they have this scrap lumber. Most of the time, they may tell you that you will have to dumpster dive to dig through their dumpster for any reasonable types of lumber.
It takes a lot of work on your part, but if you consistently look for building materials that people don't want, and gather enough for your shed, then you have just got yourself a free shed.