We framed in a small section of our barn for the coop. The coop is well insulated agains our chilly Ontario winters. All the materials used were scavenged from residential construction waste - 2x6s, 2x4s, sheeting material, and insulation all free of charge and saved from ending up in the land-fill. We also found old windows in the barn so the coop will be nice and bright.
My handy husband also build a fence so the chickens could have a safe outdoor enclosure.