I had them pretty bad for a while, and I run pretty regularly. To say that this will cure everyones case of shin splints is a bit far fetched, but it really worked for me after maybe 3-4 weeks.

Stand/lean against a flat wall. put your heels 8" or so away from the wall. raise your toes up as high as you can and slowly let them down.

3 sets of 10-12 reps; three times a day..

You look rediculous doing this excercise, but it targets what the main problem is... the anterior muscle of your calf is just weak.

I would also recommend some calf stretches and try running on softer ground. Concrete and pavement have a tendancy to make you heel strike hard forcing your shin to decompress rapidly when the front of your foot finally lands.

Hope this helps!