Shin splints are a bitch. Not long ago I thought I'd simply add jogging to the mix, starting out with walking around the curves and moderate sprints on the straightaways interspersed with light jogging. Got some pretty bad shin splints. I thought I was in great shape from lifting, but it didn't help me avoid shin splints.
Those people on those shows like "Biggest Loser" must have hellish shin splints and knee pain. You can't simply go from no jogging to jogging for miles in a month, I don't care if you work out 5 days a week in the gym or what. The more you weigh the worse it is, IMO even weight from muscle can factor in as the traditional calf exercises don't seem to inoculate one to the pounding you take as a jogging newbie.
You really, really have to start out slow with jogging if you're prone to shin splints and knee pain. Super slowly. Possibly consider starting out with short periods of jumping rope before you ever hit the road.
I've read some negative things about wearing ankle weights while walking or jogging, with some saying it affects you're stride and using hand or wrist weights is preferable. However a lot of folks have done just fine with ankle weights.