If it's like where I live you have to have a zoning permit before starting building along with a set of plans. Then if you decide to put lights or any electrical you have to have a inspection at each step of construction.
The laws do tend to vary from place to place but most cities will not allow you to build anything at all without prior permission given. Call your local town office for all of the necessary information. To go ahead and build it anyway could result in a healthy fine and the destruction of your newly built structure.