As for painting shed, you can get decorative coloured wood preservatives/ treatments that come in a range of colours, Ronseal and Cuprinol do both (Fencelife?). If you were trying to overpaint oil based treatments like Creosote, then using aluminium wood primer is recommended to stop the oil bleeding through the top coat. I wouldn't use gloss as it's only suitable on planed, smooth timber. Better off going for one of the paints I mention above as they will still allow the grain of the timber to show through.
As for protecting your garage door from grafitti. You can buy special grafitti resistant paints which when attacked allow the grafitti to be washed off. But these are expensive specialist paints that you won't buy in B&Q.