how long do you want it to last? one photo session or moving it to shows? how big? one bay or fleet sized? these decisions may affect the materials & construction.
what do you want the finished product to represent? wood, brick, enameled steel? that will also help you decide on materials.
if you just want a box for now to rough out space, you can use foamcore from the stationary or art supply store. Gatorfoam is much more sturdy, but a bugger to cut for windows & doors. either of these materials can be sheathed with the siding of your choice.
posterboard will most likely need some internal bracing. plexiglass can be a bear with which to work, and balsa . . . . . is a whole other topic. try not to get involved with it.