First of all, you must construct a concrete foundation. Any sort of water-logging and dampness caused to the pallets by being directly on the ground would get them rotting over time. You can also put the assembly on a row of bricks as this would also give a smooth and flat base to mount the walls on.
The pallets can be easily sourced from any place near to an industrial estate. Make sure that you have enough to make a simple wall structure. It will be good if you have a large pallet for the rear wall and matching medium-sized pallets for the front wall to give a beautiful effect to the whole shed. Scrutinize all pallets carefully and make sure that all pallets are about the same size. Remove pallets that have some structural defects.
Start from the corners by balancing two pallets carefully around the back corner. Use wood off-cuts to give diagonal support across the corner, clamp the pallets together and make sure about the optimum use of resources. Cover any type of space by securing the pallets close to each other to make the shed weather-proof.
For making windows you can use old windows or you can also use old pieces of oddly shaped clear plastic and a rectangular pieces of glass. Cut out matching holes for windows in the pallet walls before raising them. Use cladding to hold the windows in place from the outside, and use wood off-cuts to grasp them in place from the inside.
Now start cladding in order to get perfect structural cohesion. Go for horizontal clad for the whole structure. For cladding the shed you require a huge supply of single pallet slats. Cladding is the most backbreaking part of building the pallet shed. But with some amount of trial and error you will get idea about doing this work more efficiently in less time.
The roof can be done by using pallets of a bigger size and then covering them with some plastic sheets. In order to get opaque roofing, for storing perishable goods that might rot due to light, use aluminium sheets for roofing.