Lot of variables in your question. Is it going to be a strictly cooling/fitting shed? Indoor pens? Tack area? Concrete floor? How big? Water, electric, floor drain, etc.? The cool room by itself can run from $1000 to over $10,000. A 30' x 40', half concrete, couple of pens and cool room, would run at least $17,500, if someone else does most of the work. If you gave some more specifics, could probably get a little closer, but it would only apply to our area.
Building $10,000
Concrete $1,500
Cool room $5,000
Pens $1,000