For me it would depend entirely on what's in the area and how much time I have. I would look for naturally sheltered areas like a rock outcrop and then try to throw something around it.
Generally speaking, there are two ways you could go. One is to use a shelter that uses a heat source (fire), and the other is to use a shelter that relies on conservation of heat.
If your plan is to conserve your body heat, then the shelter has to be tiny. If you want a large shelter that you can stay in comfortably for the week, then it will be very hard to keep it warm with just body heat. If it's warm enough though, so that is not an issue, then any shelter will do. You just need something to block out the rain. Again, I would look for a rock outcrop or a dense group of trees.
If you plan on using a fire, then keep in mind that you are only collecting it with a small saw and knife. I find things like long fires to be impractical under such conditions. I would go with a small fire and stay close to it.
Generally, I find that all the planning goes out the window when you actually have to start building, especially when time and resources are limited.
If I was going to stay in the area for a longer period of time, I would look for a fallen over tree, or a large rock and build up around it. I wouldn't spend too much time on it because I would rather focus on gathering other resources.
this post above is an excellent reply, in reality i suspect your resources will be further limited not by what materials are around you but by which of them you are actually ''allowed'' to use. However it goes have a nice time anyway, fun is the best reason to do anything. ATB.