Its a little building, usually found behind a house where people store thier tools and garden supplies.
Seriously, a shed session is when a bunch of musicians get togather and jam, while sharing the new ideas and tricks that they have learnd.
They call that a shed, because you are giving part of yourself away, so that you can recieve new stuff. Its just like a snake, he has to shed the old skin before he can grow new skin.
Sometimes when a musician says that he is gonna shed, he means he is gonna lock himself in a room (shed), and practice until he gets better.