In reply to staceyjg: Can't tell you what is right or wrong, or advise that the above posts are incorrect, but guessing from your posts that rest is not the answer you wanted to hear! Hence I offer my four penneth.
I have what was called shin splints in both legs, after the GP and 2 different physios it is determined that I don't have shin splints but it is a muscle on the lower inside shin bone. I was encouraged not to rest but to work through the pain building up distance slowly and with regular massaging (this can be by the physio or self administered) much as described by a poster above using your thumbs. Also essential is the stretching post runnung and as often as possible between runs. This has then been supplemented with strengthening exercises and some work on lossening tension in my back and exercises to strengthen my IT band and get my glutes working more effectively as part of the run.
All sounds technical and a lot of effort but has got me from being in too much pain to run at all to half marathon distance, I'm not pain free yet and have bad days (normally from over doing it or not doing my exercises) but I didn't have to stop running!!
A good physio is worth their weight in gold, the challenge is finding one of those good ones!!