Excellent post by CoolColJ. He is exactly right because shin splints is the tibialis anterior muscle pulling away at it's point of attachment on the periosteum, outer covering, of the tibia bone. Reiterating, you need to rest the muscle and use some ice to reduce the inflammation and pain. Then slowly work at strenghthening the muscle. I use to use packs of cold flower because they would get every area of the muscle whereas a bag of ice is not nice and smooth. The best way would be to take an ice cube and rub it all along the muscle to make sure you treat the full length of it.