This achievement requires you to find, tame and shelter all the sheep in the game.
To bring a sheep to your boat (sheltering it), you have to feed it so it follows Stella and Daffodil.
You learn to do this after Alice teaches you how to shear sheep at Mount Toroyama.
The sheep can each be found at the following locations:
Gurenu Fields
Hummingberg
Mount Toroyama
Nordweiler
Sandwich Walk
You don't have to build sheep corral for them on your boat to get the achievement. It is triggered as soon as you tame the last sheep.