Before you build, you need to decide whether you want a permanent or temporary shelter. If you build a permanent shelter, consider only covering part of the pool so the other part is still in the open air. A temporary shelter is one you can put up or take down as you please. This might be a mesh or net shelter that fastens to poles you install, or a retractable glass or plastic shelter or canopy that operates with a crank or electric motor.
Another option to consider is to build a shelter that is both functional and adds to the decor of the pool and outdoor living space. For example, you can build thatched umbrellas along the pool's perimeter that extend over the pool to provide partial coverage. These can also serve as shaded areas for people to sit and relax. Palm or other types of trees can also serve as a natural cover for parts of the pool and outdoor area.
Before you install a shelter, you need to do some preparation. For example, if building a temporary mesh shelter, you need to install poles surrounding the pool that you use to hang the mesh on. If building a permanent shelter, you need to build the structure and frame of the shelter. This might be similar to framing a new house using wood beams. If you have no experience in this area, consider hiring a professional to do at least some of the work.
A pool shelter protects the pool and provides shade, but it can serve other functions as well. For example, if space allows, you can build a bar or entertaining area under the shelter to give it multiple functions. Place some tables and chairs under the shelter for an outdoor dining space. If you live in an area with cold weather months, the shelter can act as an outdoor storage area or shed during the months you are not using the pool.