I made my own gazibo with a top cover for a sun shade. As we also suffer with high winds some times here in Albatera, I decided to use some of the shading material that they use to cover the market stands in the summer.
The material is made from some sort of plastic mesh, is great as as sun shade and does not look too bad when fitted, the best thing is it is cheap, so if the wind does tear it, it doesn't cost a lot to replace. I did however fit it in a fashion so it can be taken off quickly.
Got mine from Hen's the ferreteria, on the one way road as you leave Albatera towards San Isidro. They do it in a few sizes and colours. Speak to Jose.
I also saw some Toldo (awning) material on rolls in different colours on a curtain stall at La Marina market this morning.