yea thats too bad yer not gonna do it, i think drywall and 2*4's woulda been your best bet, even painted plywood looks tacky, you can see the texture and whatnot.
if you dont want to build a shed you could set it up in your basement or something - building a wall is not that hard as long as your not doing any electrical wiring, and a basement is a lot better in the summer (or winter for that matter) than a shed outside. it wouldnt be more expensive than a shed and i bet you could get your parents to foot it (perhaps)