Okay here's a few tip from a guy that used to have shin splits.
First week.
Sit in a chair, and force your toes toward your head, while keeping your heel on the floor. Do this until you feel like your shins are going to bust. Try to do this as many times as possable, after every set strech your shins out.
Take the weekend off.
Second week.
Get a small bucket with a handle. Put a light weight, water or sand in the bottom of the bucket...something to add a litte bit of weight. Now sit on a counter or some place where your leg hangs. Now place the handle of the bucket on the edge of your foot and bring the toe toward your head.
Basically yout building the muscles in the shin, this regimate helped me a ton. I could only run for maybe a mile if I was luckly before my shins would start to kill me. Now I'm up to 5 miles a day, no problems.
Also if you use a precore or elipitcal trainer instead a treadmill you don't have to worry about shin spilts