Shin splints were a problem for me, too, when I first started training. The first thing I did to help with the pain, was sit in a hot bubble bath. Next, I got good shoes! The shoes in my first post is what I bought. My shin splints when away.
Also, don't over do it. Go to Google and type in "10 week walk to run program". There are a lot of good websites that will give you a schedule for going from a walk to run program. After you can run for about 30 minutes straight, you can start to train for a race- even a marathon!

Lisa