That would be an asset. However, if it costs you less than $2500 then you can just expense it. But you can only expense it to the one rental property you built it on. If more than $2500, you'll classify it as rental real estate and depreciate it over 27.5 years as an asset for the rental property you built it on. Keep in mind that for cost, you can only claim what you actually pay for the materials. *YOUR* labor, if you do the actual work, is not deductible.
If you pay someone else to do it and send them a 1099-MISC for what you paid them to do it (if more than $600) then the total of both the materials and labor are claimable as the total cost of the asset.