Don't worry about the dirty sides, if you get fish they will eat that algae growth. As long as it is just thin and not long and stringy you are fine. You will need a test kit for nitrates and ammonia when you add fish. You will need a dechlorinator, I suggested Prime Pond. Left alone, the chlorine will be gone in a day, but chloramine can last a month if untreated.
You must have a GFI protected outlet for your pump. Be sure the pond is level and that there will be no runoff from the roof during a heavy rain. Some shingles have zinc granules to retard algae growth, but that will damage fish. Debris or hard splash from the roof will mess with water chemistry. The edges of the pond must be elevated so that ground water cannot flow into the pond. Site the pond so you can stand on something firm to do cleaning. Nice to have a way to sit and sip coffee as you admire the fish and plants.
If you will have fish, you must have filtration and aeration. Select a pump with a nice size sponge filter on the inlet and perhaps a small fountain attachment. I preferred no fountain, just gushing water that went straight up, to minimize loss to splashing and evaporation. Splash will be occasionally twice the diameter of the height of the fountain, so look at the width of the pond and make the vertical spray less than half of that. So your fountain must have an adjustment on the outlet stem. There is some rule about pond turnover/hr to size pumps, you'll need to look that up. I think it is 2xpond size or 4 if you have koi or tend to overstock.
Expect 58 days of green water as the nitrogen cycle is established. If you want plants, buy them now and put them in, even before you put in the pump or stock fish. If the pond shell has shelves, make sure the pots are near but not above the water line. Plants add to the beauty, help clean the water as they grow, yet help foul the water as they die. Plants should be in dirt that has no organics like peat moss or sticks that will decay or vermiculite or pearlite that will float. Just plain dirt. With no direct sun your plants will be limited, no water lily for example.
When you decide what to put into the pond, stock 1" fish mature size per gallon of water. Since a koi can grow to 3', you see why you cannot have them. My favorite is the fan tail goldfish, mature at about 5" so you can have a lot of them. Comets and shubunkins are longer, to 10". In 500 gallons you can easily have 15 or more with a mix of fan tail and longer types.
Be aware that fishing type birds can clean you out in a day if the pond is shallow with no hiding places. I used black milk crates to prop up my plants and that gave the fish a good hiding place. Also, black PVC pipes are good.
Feed slowly sinking food or flake for goldfish. I know they want to sell you floating food but goldfish will swallow so much air they float belly up -- tiny fish brains, don't know when to stop eating. If you do have koi, they can handle the floating food, they are strong fish. You should not mix koi and goldfish, IMO.
And do not overbuy food the oils in fish food will be rancid in 6 months, from manufacture, not purchase. If you buy a huge bag of food and it lasts 5 years, you will kill all your fish, been there, done that.
Winter, here in SE TX winter is not much of an issue. It is wise to keep the pump off of the floor of the pond in the winter if you can manage that, for the circulation of the fountain through freezing air introduces sudden cold to the pond water. If the pump is off the floor there will be a warmer level down there. People with big waterfalls or fountains have woken up to find all their fish stunned and dying from water that has plunged in temperature due to below freezing winds super cooling the pond and no warm place to hide. It is rare for ice to form on the surface of the pond, particularly if the pond is buried and not above ground. Just don't feed when water temp is below 55.
Selecting fish. Be very picky about the fish you buy. Never buy from a tank with diseased fish, inspect the whole tank before selecting. Most fish stores have common filtration, so the sick fish in the tank at the corner may be infecting your fish. It is OK to pay $5 for a fish instead of $0.15 if you save $40 in medications later. Store will give you instructions in how to float the bag, introduce water to equalize chemistry (different hardness can really damage fish, newly shipped fish may be in nearly RO water) and temperature. Do not feed for the fist few days, let them eat algae, less ammonia to worry about. Add Prime every so often for safety. May as well stock the whole pond at one time from one source to minimize disease issues.
That is all, I think, about 20 years experience with fish ponds.
[edit] PS. NEVER NEVER NEVER add a plecostomus or any sort of sucker type fish with goldfish. When the aglae that they both eat is gone, the pleco will suck on the goldfish leaving a round mark that becomes infection site. Kills goldfish. Do not let them tell you that pleco eats fish poop, no fish eats fish poop. If fish poop still has food in it, then you feed too much and undigested food is coming out the other end. Aquarium catfish will not survive in goldfish tank, I've seen photos of catfish stuck in goldfish throat, fish died.