Can you post a wiring diagram of the switch (did it come with one in or on the box)? Not all of these are the same.
But first, before you wire it up, there are some things to verify.
You ran #14 wire. What size is the circuit breaker for this circuit, 15A or 20A?
What type of wire did you run to the shed (NM "Romex" cable, UF "Outdoor Romex" cable, MC (spiral metal cable with wires inside), something else)?
How does the wire get to the shed - overhead, buried? If buried, how deep is it?
Now for the switch. You must have a disconnect in the shed, so that switch needs to turn off the receptacle and any lights. If you don't it to work like this, then you need a separate switch which you'll always leave on unless you're working on the circuit in the shed.
Need a diagram that came with the switch or at least the number and colors of the screws on the switch to tell you how to wire it. Also look to see if there is a built in jumper tab between two brass colored screws.