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Shelter is an absolute must for any contained animal, and this includes donkeys. A three sided run-in shed is ideal. Because of their desert beginnings, a donkey doesn't handle extreme cold as well as most horses can. Donkeys need to be able to escape from harsh elements - cold as well as hot. The worst culprit being wind chill. An adequate shelter goes a long way in making sure your donkey stays comfortable in any condition.

It's a good idea to face your shelter away from the prevailing wind, and also make sure you are not locating it in a low spot that would become impassable with mud during certain times of the year.  Use wood shavings if locally convenient (make sure they do not contain toxic substances such as Black Walnut bark which could be fatal) to keep the shelter and surrounding area a dry and comfortable place for the donkey be in.

Donkeys don't seem to mind sharing their space with each other on most occasions. Good humored and good natured, they will buddy up and most generally allow everyone a chance to get out of the weather, which isn't necessarily the norm with their cousin, the horse. It wouldn't even hurt to have a corral or pen attachment to your shelter, for there will be times that you won't want your donkey to be out on pasture (like when the grass is really coming on in spring!), or you might need to contain a sick or injured donkey. 

Picking up manure from out of shelters and pens is important. If you cannot haul it off daily, pick an out of the way spot for your manure pile, and either spread it in the hottest part of summer or advertise it for fertilizer. You can also use prepared stall 'sweeteners' on urine spots to help control the ammonia smell (which the buildup of can harm equine lungs). Picking up fecal matter means less smell, flies, and parasite contamination. You and your donkey will be much happier if his home is clean and neat. A place to proudly showcase and to pleasantly spend time with your longeared friend.

Shelter is necessary for the comfort and health of any donkey. They tend to hate water, whether it's under their feet or falling from the sky, most do their utmost best to avoid it. I don't really blame them, their desert coat seems to soak up moisture rather than repel it. A damp coat that never is able to dry encourages fungus and other skin infections. A cold, soggy donkey is not a happy camper.