It's probably not so much the wood you choose to use as it is how well you finish the enclosure prior to using it. The critical thing is to ensure that after the basic canopy is built that you completely seal it with a high quality paint or plastic-based, clear coat like Polyurethane.
But I would agree that Pine is probably the least suitable for canopies for a few reasons: 1.) It is usually sold slightly 'green' i.e. it is likely to warp regardless of it's esposure to humidity. 2.) It is too soft for my prefernces in terms of holding fixtures etc. securely. 3.) it least likely to handle the heat generated by fixtures.
Some suggestions would be high quality hardwood veneered Plywood such as Luan, Oak, or Birch 3/4 ply or perhaps a standard plywood 3/4 inch but both sides finished to C or better.
If you'd prefer dimension lumber because you do not have enough tools then I wood suggets Poplar - it is medium hard, does not warp over time, is resonably priced for a good quality wood, and is available cut to a large variety of dimensions.