When my older two were young, we bought an inexpensive tent from Kmart. Something like one of these;

http://www.kmart.com/gigatent-5%27x5%27-cooper-1-dome-tent/p-089V005690563000P?prdNo=8&blockNo=8&blockType=G8

http://www.kmart.com/happy-camper-t...32047000P?prdNo=9&blockNo=9&blockType=G9

These pack up to be small for storage, so they are good if you have limited space.