Really the choice is yours!
Most people have a coop and a run. The coop housing the nest boxes and most likely locked at night to protect the birds. The run is an area that is fenced in and alot of people put some kind of cover on it like poultry netting to keep out predators. Our birds are run free right now, but will have a run in the spring. I will let them roam my side yard as long as I'm home, but if I won't be home they will stay in the run. We have our back yard fenced off from our animals so my little guy doen't have to play where chicken poop is! Although if you asked him he would rather be with the chickens!!! We also go camping so if we will be gone our run will be covered with hardware cloth and some kind of roofing to provide shade, we haven't decided that part yet. This way the birds will be able to go in and out of the coop, but we won't have to come home at night to lock them up. This gives us a day or two away without having to worry about them, but we always have my Mom come and check them anyways, cuz I worry no matter what!
Look at the coop designs section there are pics to get some great ideas! If you only have a few chickens you don't need a huge coop and run!
Brenda