Simple depression in the dirt out in the open, no cover at all and in the Arizona Desert. I hope that they hatch quickly since there are a lot of coyotes, snakes, crows, and other predators that could easily make a quick meal of the eggs. She fluffed herself up to defend the nest when I approached.
I came back a second time; she made herself real noisy using her cry to tell me where she was, running away and fluffing her rear feathers out to look like a broken wing so that I would go after her and leave the eggs alone (not that I would bother them or stay long at all). I guess that's their defense against predators.

See pic of broken wing routine:

http://www.pbase.com/update_image/59529781