New electrical circuits are added when adding additional electrical outlets or lighting to your storage shed or finishing a basement. The number of circuits depends on how many lights or outlets you are installing.
Adding a new circuit is done to run a new electrical line from your houses electrical panel out to your storage shed or if you already have a electrical sub panel in your garden shed you can pull the new circuit from there. Your shed plans may included drawing of the panel location in your shed.
Safety: If you don't feel comfortable working with an electric panel or have a concern with any part of working with electricity you should consult a licensed electrician. You may even run all the wiring and then get an electrician to review your work before covering it up. Your local codes may require you to hire a licensed electrician.