I get very nasty shin splints. I have severe pronation (flat feet), and this can quite often be the cause. I am being treated by a bio-mechanics specialist, who gave me custom inserts for my shoes. Unfortunately, mine are caused by mere walking, so I find them very hard to avoid. But my doctor gave me three very simple exercises to do daily...and as long as I keep them up, I don't tend to get them as often.
First, if you have flat feet, ask your GP if you can be sent to a specialist who will give you custom inserts. Pronation causes strain on the shin muscles.
Second, try these simple exercises...they won't do you any harm, and will merely strengthen and lengthen the relevent muscles to make them more resistant to injury:
The first is to stand on each foot with your eyes closed for thirty seconds at a time. The corrective movements as your leg muscles attempt to keep you balanced will give your legs more strength. You can also buy something called a wobble board which will do the exact same thing.
The second is to stand close to a wall with one foot slightly forward and the other behind you. Lean against the wall with your hands, and force the heel of your back foot down, so you feel the stretch all along your calf. Lengthening your calf muscles will make them more flexible and less prone to injury.
And the third is to stand with your feet shoulder-width apart, and rise up on your toes. Lower youself back down slowly, but do not let your heels touch the floor, then rise back up. You will feel the burn in your shin muscles.
Also, you can get an exercise band...kind of like a giant rubber band, loop this over your foot and attach it to something solid. Pull your toe towards you against the tension of the rubber band.
If you are currently injured, do NOT do these exercises. Instead, use the RICE strategy: Rest, Ice, Compression, and Elevation. Stop running, ice your injury, use compression bandages, and sit with your feet up, it will reduce swelling. I also find therapeutic massage extremely helpful when I've got shin splints.
Here is some general information on shin splints:
http://www.sportsinjuryclinic.net/cybertherapist/front/lowerleg/shinsplints.htmTowards the bottom there is a link to a page detailing therapeutic massage for shin splints. This really makes a huge difference for me when I am suffering.