You mean a run-in shelter from a pasture? For the walls, you can use either wood boards, plywood, or metal sheeting with plywood/board/rubber matting up to 4 feet on the wall to prevent the horses from punching through it from a kick. How well do the horses get along? Does one obviously push the other out of its space and is territorial? Do the two horses get along great in big and in small areas with each other? At the very least, the ceiling should be 10 feet tall for average horse or 8 for ponies. Roof can be shingles, various types of metal, etc. If the horses get along well, the run in can be as small as 12x12, but if they don't always, a 12x18 is best for two horses. You could have something like this
Or like this, with a tack room, a stall for seperating horses at feeding time etc, and the overhang would be their run in (you wouldn't want to leave that door open to the stall as the opening is to small and if one horse got chased in there it could be easily trappped).
Even fancier, it has a stall, a tack room, and a run in at one end..
This is my tiny barn (dont mind the bad picture and the mess on the wall).
There is a 12x24 run, with an 8x12 stall that has a 2 foot overhang. Then, there is a 4x12 tiny rectangular hay/grain/tack room, and then an 8x12 tractor storage. The siding is 3/4 inch thick plywood, and the run has wood and board fencing. I don't know the height of the ceiling.. Oh, its just red on the front of it, its a brown color on the sides.
And sorry, I got carried away, I love looking at barns and run in shelters :)