“Can you imagine the Engineering just to design such a structure?!”
Assuming that it were large enough to hold Mercury, Venus and Earth (and the Moon), I'd think it'd require the raw materials found in all the outer planets and the asteroid belt, and then some. Building a Ringworld would probably be easier.
Actually, for anyone interested in the subject, there was a ST:TNG novel called "The Dyson Sphere", which was okay reading, but had an appendix, which was about 1/4 or 1/3 of the book about the science of such a thing. (I have to admit that I didn't read too much of that either because it was a little dry or little over my head or both.)