You could build you shed right on top of the concrete slab, just like they do with a house on a slab. You didn't say want you wanted to use this shed for but you might want to consider "the lay of the land". Sometimes when slabs are poured for sheds they aren't quit as high above grade as they should be. You don't want to find that the floor of your sheds ends up under water after a heavy rain.
To connect the base plate of the wall to the concrete youÂd need to use an expansion type anchor. There are a couple of variations  a wedge type and a sleeve type but they all do the same thing  expand in the hole to make a secure connection to the concrete. Generally speaking things like powder actuated fasteners and "Tapcon" type screws arenÂt sufficient. A hammer drill makes drilling holes in concrete much easier. You can rent one for $20 or so. Any wood that comes in contact with the concrete must be pressure treated. IÂd also run a heavy bead of construction adhesive under the wall base plate to form a seal.
A "jack hammer" is generally used for destruction, not construction.
You didnÂt mention anything about permits. Many communities require permits for this kind of construction and you local building department can be a useful resource if youÂre less than sure of your carpentry skills. Certainly the inspector isnÂt going to help you drive nails but he can make sure you donÂt get into too much trouble.
Good luck!
Mike
Q