Consumer weather stations usually come with sensors that are not adequately protected from solar radiation or they have additional sensors that you might want to protect from solar radiation. Installing them in a radiation shield won't turn a consumer accuracy sensor into one such as manufactured to traceable standards but it will help reduce the inaccuracy due to solar gain.

You could try Googling the question but there are already a couple of useful articles out there.

For a pasive shield you could try this one from eHow.com ; http://www.ehow.com/how_6720319_make-solar-radiation-shield.html

The more adventurous might like this one from Weather-Watch.com as either passive or fan assisted ; http://www.weather-watch.com/smf/index.php?topic=23736.0