Dog houses are good, straw bales too. Or any large container that you can add a makeshift door to--what about one of those large wooden electrical reels with an end cut out and a tarp over the top?
Do you need predator protection, or just weather shelter?
Look around your house, basement & garage for any structure that has a box-like shape to it. You can add sides with whatever materials you have on hand.
Another option is a hexayurt. Buy eight sheets of plywood in equal sizes, and lots of duct tape. Tape six sheets on their sides into a hexagon. It will be self-supporting, but you'll have to cut a door. Add a flat roof with the other two sheets of plywood, or just 2 x 4s with a tarp thrown over.
However, whatever you do, the duck may not use the shelter unless you force it. Strange shapes scare them.
Good luck with whatever you decide!