Shed dormers require a continuous strip of flashing along the top of the lower roof plane where it meets the steeper roof plane.
Also, they require sidewall flashings. A critical juncture that often fails is where these two flashings meet. Use taller pieces of step flashing towards the top, so the pieces can be bent over the dormer roof to help keep out snow and wind-blown rain. The top should be protected with lead flashing (old school) or a peel-and-stick flashing membrane
For more information on flashing roofs, visit the JLC Field Guide.