Here is one technique which can be used to construct an emergency shelter from the elements using tree limbs and a little ingenuity.
Locate a spot next to a tree or other brush and find a long branch capable of holding some weight..
Lean the branch against the tree at roughly a 30 degree angle (the smaller the angle, the more heat you will retain).
Use any available tarp material (improvising if necessary) and drape over the branch. Secure as appropriate.
Collect additional branches and shrubbery. Layer these on top of the branch (and tarping material, if used). Leafy branches are ideal.
Be sure to fill any holes to prevent heat escape and to improve your shelter's weatherproofing capabilities.