How can I put a plastic sky-light in a shed roof?
Homemade skylights are a bit tough. But, you basically want to have the top &amp; sides under the roofing &amp; the bottom on top of the roofing. Set the panels in a thick bead of caulk, silicone or not &amp; screw down either through the panels or with brackets.

The polycarbonate's channels would be best run horizontal to the pitch rather than downward with it. Membrane tape or even just aluminum tape the sides first then the top. Finally, caulk the roofing down to the sides &amp; top of the panel &amp; do a final caulking at the bottom of the panels to stop any capillary action or ice damming.