As temps cool at night sheds start to get wet if there is not adequate ventilation. Cool damp air and not adequate ventilation lead to condensatoion forming on the walls, roof and windows of a shed.
If you leave a window slightly ajar that will help but this makes security an issue. You can cut ventilation holes into the walls of the shed, assuming it is wood this is dead easy. Try and cut holes so you can create a cross flow of air to increase ventilation.
Finally some form of insulation will help, but only if used in conjunction with extra ventilation.
On my shed, it is a big one at 17foot by 10 foot, I have insulated the roof and walls with fibre glass wool and clad with ply. There are also vents at both eaves and on all 4 walls at floor level. very snug in winter!
Jerry