Got shin splints in boot camp, shits the worst. But they just used an ace bandage on it, said to rest and threw some ibuprofen at me. I was good after about 2ish days of doing next to nothing on it and icing it over the bandage.
There's ankle / calf stretches you can do to prevent it. Just do it every time before you exercise.
http://www.teachpe.com/stretching/shin1.jpg
or you can also stand on one leg and with your other leg in the air rotate your foot clockwise for a few rotations and counter clockwise for a few rotations.
I remember this well because after I got my shin splints my drill instructor made me do this before doing anything, even going to the bathroom, to humiliate me for getting two days of bedrest during boot lol...
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