A three-sided lean to with the open side away from the prevailing winds and, if you are in the northern hemisphere, the north side must be closed. If possible, build it on the south side of a stand of trees.
Doesn't have to be huge. For a couple of riding horses, 15'x15' is lots. For one you could go 12 x 12, maybe less. I'd have to actually go out and measure one of my "stall" areas in my barn.