I spent the last 11 years in the military as a physical therapy assistant. My last assigment was at Ft Jackson, SC where recruits come for basic training and advanced individual training. The Physical therapy clinic I was in charge of saw more than 24,000 soldiers every year on average. The shin splints are a common occurance for both male and female. Females were more prone.
WrestleSBA already covered the shoes which are very important but I want to address what to do now. Stop running altogether! You need to stretch the shins lightly until the soreness goes away and then follow by ice for 20 mins and 2-3 times and 3-5 times a day (elevate your legs above your heart). We used the R.I.C.E Rest, Ice, Compression, and elevation.
Do not use heat even thought it may feel better the ice is bettere at dissapating fluid buildup we call swelling. You may have developed stress fractures as a result of the running. X-rays can help determine if you have those but a bone scan is the only way to be sure. Stress fractures will make the bone appear darker in areas that are affected. The usual course of action for stress fracture is no impact activity for 6-8 weeks. In your case without knowing how bad it is, listen to your body and continue once the pain is gone. Maintain a health diet and stop smoking as it causes poor healing. If you continue to run, you could further injure yourself and make the stress fractures worse and could eventually cause a break in the bone.
Once you have determined that the pain is completely gone you can start light walking and progressing to running again. Have someone press on your shins with their thumbs and if you feel no pain then you can start back training. Now I'm not talking about digging into the bone but firm pressure. If you feel pain then of course you are not ready. Some things to do while you are recovering. You can do light walking/biking/swimming, stretching and RICE before and after a workout or exercising. The exercises are to maintain your cardiovascular fitness. No impact exercises!
Stretching the shins lightly for 30 sec hold for 3 reps. Here is an example of an assisted stretch
http://www.drkiper.com/ShinSplint.html
Can't find a good pic so I will have to tell you. You can stand or lay on your side and put your leg behind you and grab your toes. You know you are doing this right if you feel the stretch in your shins.
A good exercise for your shins is to do heel raises. You can start by sitting in a chair and then rasing your heels off the ground. Too easy and no pain try standing up and use a step or phone book. With both feet or toes at the edge, raise your heels up and then let them lower down as far as you can go. Use the wall or something stable like a chair to hold on. Once this is easy progress to a one leg heel raise. Most gyms have this machine for future strengething.
I will find a walk to run program that you can begin once you heal.
These are stretches that you need to do to for the lower legs in general.
http://www.halhigdon.com/15Ktraining/Stretch.htm
Here is some info on stress fractures.
http://orthoinfo.aaos.org/fact/thr_r...20/%20Exercise
Scroll down to pic#4 to see stress fractures of the shins. The dark spots are the stress fracture areas.
If you follow my advice, you will get better. Go to a running shoe store that specializes in just running shoes and see if they are able to evaluate the way you run and determine your foot type and types of shoes you need. Look are not always the best as in this case but there are nice shoes out there. Hope this helps!