This morning I was jogging past Hyder Park when I saw this kids' play house, made from branches that came down during a storm. I had to take a picture because it's the kind of shelter you can make if you're stuck in the woods overnight.
Of course, if you're prepared you'll have an emergency tarp with you and can create something far more wind- and waterproof, as I describe here, here, and here. But if you're not prepared, and if there are branches and brush handy, in an hour you can create something to help keep the wind and rain from killing you.
The basic approach is the one the kids took. Lean a few large branches against a tree to define the outline of the shelter, including the entry. Then pile on additional branches (more than the kids used, actually) to create thick shelter walls. The kids had a final branch to serve as a door (you can see part of at the lower left corner of the photo) and you could reserve a few branches to serve the same purpose. Just have them where you can reach them and pull them to, once you're inside the shelter.
The one addition I'd make would be to lay down lots of dry leaves or small branches inside the shelter space before building the walls, to provide insulation between myself and the cold, damp ground.
If there are two or more of you, make the shelter large enough for everyone, so you can huddle and share body heat.
You can't build an adequate shelter in five or ten minutes. When you're lost, it's important to stop wandering an hour before it gets dark, so you have time to prepare for an overnight stay. If you have a way to start a fire, you can also use that hour to find tinder and fuel. But even if you don't have a way to start a fire, a shelter like this one may be the difference between surviving and not.