A method for on-site assembly of a shelter for an above-ground structure to protect the structure from blast, wind, fire or other physical hazards. A pyramidal shelter with triangular or rectangular base is formed by joining side panels to each other. Each side panel includes a triangular frame covered, except at access hatch, observation port and door openings, with either steel plate or diamond steel mesh to which blast-resistant, fire-resistant or other kinds of coatings or panels are applied. A corner anchor assembly to support each corner of a shelter has a lower plate, an overlying split plate, and a pair of upstanding, anchor rods attached to the split plates for insertion into hollow, lower portions of side beams of adjacent side panels. The corner anchor assemblies facilitate expansion of an assembled shelter by addition of more modular components.