I'm not talking about building something from the ground up, I'm referring more to something like the Mike Zoss Pharmacy in No Country For Old Men. Do they actually mess with a real, working storefront?
It all depends on what needs to happen. Sometimes a post production sign can be added and no one will notice. It is usually sets, but it all depends on the film, the budget and what needs to happen there. I grew up in South Boston, but live in Brooklyn, and a local bar around the corner is a frequently used store front in the Departed, which I always find odd.
The movie Mr. Deeds was shot on a regular street near my home. The first few scenes take place in Adam Sandler's character's pizzeria, which was a real working restaurant ("The Bistro Cafe"). The production crew replaced not just the Bistro's sign with a fake sign for the production, but every store's sign on that road and even across the town green, all because of this one shot.
On a day off from shooting I was able to walk around the location and take photos of the street and the fake store fronts. Let me know if you have any interest in seeing them.