I've had shin splints REALLY bad since April this year. I've just started running again recently with no pain. According to my physio the two main causes are: 1. incorrect footwear and 2. too much too soon.
I would highly recommend going to a specialist running store and getting fitted properly by a specialist running shoe saleperson. If you are starting out take note that EVERYONE had to start from zero at the start. If you build up the intensity of your runs too quickly, I believe, your muscles grow and adapt quicker than your the bones around your calves. That is, your bone (specifically the sheath that protects the shin bone) needs to adapt and strengthen to the new stress. If your muscles are growing faster than than your bones are adapting, you get micro-cracks in the bone around that shin area due to the stress in that weak area. You could also see it this way, fatigued muscles lose their ability to absorb the shock which is then taken up by the bones which are then unduly stressed and weakened.
Try to always stretch your calves properly before training.
Reduce your intensity of training for a while.
Train on a different surface like grass.
Those balancy things, like the half ball, at the gym do a great job at strengthening your calves. Anything that makes you balance using your calf muscles seemed to have worked well for me.
These are some of the exercises I did in rehabiltation: http://foothealth.about.com/od/exercise ... xerc_9.htm
Do NOT run through pain even if it's mild.
Rather reduce to a run /walk exercise programme with more stretching and strengthening exercises and rebuild your training from here.
If you do already experience pain, ice in a plastic bag for about 20-30 mins a day helps.Those ice/heat packs tend to lose their intensity fairly quickly.
All of the above got me through my agony. I hope this helps you. With that said, I am not a specialist and you should see one as a precautionary measure if you're not sure.