A method for constructing a protective structure, comprising the following steps: a) providing a supporting structure including a plurality of parallel supporting rails; b) providing a group of panels stored parallel to each other in a container, in the storage position; the panels being, in the storage position, resting on storage rails (34sup, 34inf) of said container; the panels and the supporting structure being configured such that the panels can be engaged on the supporting rails and supported by the latter, and can then slide along the latter in a mounting direction; c) a transfer device including transfer rails (42up,42inf) is installed; during the installation of the transfer device (40, 140, 240), the transfer rails are disposed such that the transfer rails connect the storage rails to the supporting rails; and d) the panels are transferred from the storage position to a final position wherein all said panels are supported by the supporting rails, by carrying out the following operations so as to transfer all the panels: d1) at least one of the panels is transferred from the storage position to an insertion position wherein said at least one panel rests on the supporting rails; the transfer being carried out using the transfer device (40, 140, 240) lifting said at least one of the panels upwards; the transferred panels being placed one after the other resting on the supporting rails; d2) at least one panel is moved along the supporting rails in the mounting direction; and wherein, during the transfer of said at least one of the panels from the storage position to the final position, said at least one of the panels is moved while being continuously supported successively by the storage rails, the transfer rails and the supporting rails; the construction method being characterised in that the transfer device (40, 240) includes a support (44, 23) integral with the structure; and during step d), at least one panel contacts said support which forces said at least one panel to be lifted. a) providing a supporting structure including a plurality of parallel supporting rails; b) providing a group of panels stored parallel to each other in a container, in the storage position; the panels being, in the storage position, resting on storage rails (34sup, 34inf) of said container; the panels and the supporting structure being configured such that the panels can be engaged on the supporting rails and supported by the latter, and can then slide along the latter in a mounting direction; the panels being, in the storage position, resting on storage rails (34sup, 34inf) of said container; the panels and the supporting structure being configured such that the panels can be engaged on the supporting rails and supported by the latter, and can then slide along the latter in a mounting direction; c) a transfer device including transfer rails (42up,42inf) is installed; during the installation of the transfer device (40, 140, 240), the transfer rails are disposed such that the transfer rails connect the storage rails to the supporting rails; and d) the panels are transferred from the storage position to a final position wherein all said panels are supported by the supporting rails, by carrying out the following operations so as to transfer all the panels: d1) at least one of the panels is transferred from the storage position to an insertion position wherein said at least one panel rests on the supporting rails; the transfer being carried out using the transfer device (40, 140, 240) lifting said at least one of the panels upwards; the transferred panels being placed one after the other resting on the supporting rails; d2) at least one panel is moved along the supporting rails in the mounting direction; and wherein, during the transfer of said at least one of the panels from the storage position to the final position, said at least one of the panels is moved while being continuously supported successively by the storage rails, the transfer rails and the supporting rails; the construction method being characterised in that the transfer device (40, 240) includes a support (44, 23) integral with the structure; and during step d), at least one panel contacts said support which forces said at least one panel to be lifted. d1) at least one of the panels is transferred from the storage position to an insertion position wherein said at least one panel rests on the supporting rails; the transfer being carried out using the transfer device (40, 140, 240) lifting said at least one of the panels upwards; the transferred panels being placed one after the other resting on the supporting rails; d2) at least one panel is moved along the supporting rails in the mounting direction; and wherein, during the transfer of said at least one of the panels from the storage position to the final position, said at least one of the panels is moved while being continuously supported successively by the storage rails, the transfer rails and the supporting rails; the construction method being characterised in that the transfer device (40, 240) includes a support (44, 23) integral with the structure; and during step d), at least one panel contacts said support which forces said at least one panel to be lifted.