Runner's World recently did a fabulous video on shin splints that completely solved my problems with shin splints (I've had them pretty much from day one of trying to run.) www.runnersworld.com/injury-prevention-rec
The most important thing I did was get a pair of properly fitted running shoes. Every foot is different, and having a pair of shoes fitted in a specialty running store (NOT a big box retailer) was critical.
When they came back, they were also able to recommend arch supporting orthotic inserts for me that completely solved the problem. I have flat feet/fallen arches and I overpronate a little and that's just enough to throw off my form and cause shin splints!