That depends, I think, on what you mean by 'built'.
Any structure made by humans? As in, our current speicies, **** Sapiens Sapiens? I would assume it to be a simple structure, most likely temporary as humans were nomads for thousands of years before they originally stated building permanent 'towns' in the fertile cressent (near egypt) about 10 000 years ago. This was prompted by the invention of agriculture, and was called the neolithic, or agricultural, revolution. These buldings would be basically mud huts, or even mud brick huts, built also using stone, wood, or even cow dung.
If you mean anything constructed by humans, again, predecessors of humans (what we evolved from) had been making stone tools hundreds of thousands of years before the first **** sapiens was even born. So the first human, or more correctly modern human (as species like **** erectus, or **** neanderthalensis, belong to th ****, or human, family tree.) So then, I would say simple stone or wood tools. (Stone hand axes from hundreds of thousands of years ago, from the predecesors of the human species, are very cool.)
And that's all I know without resorting to google, sorry. As for early structures that still remain today in a whole form? I'd have to look that up.
EDIT: Hmmm.... looks like the DIS boards does not like the scientific name for the human family. Very interesting. You all know it though, latin word for 'Same' or in this case 'us'. I think. Never took latin.