Shin splints SUCK. Once you get them, I strongly suggest seeking out ways to prevent them. They're a stress injury, often caused by improperly fitting shoes, etc. There's a number of causes.
This video from Runner's World really helped me deal with mine; it's mostly with relation to running, but I imagine the same basic principles apply. If it continues, you may need to consult a doctor. DEFINITELY don't keep trying to power through it... untreated shin splints can result in stress fractures! www.runnersworld.com/injury-prevention-rec