Your doctor is unfortunately wrong. That's not unusual, especially if your doctor isn't a sports medicine specialist. It is NOT normal to have pain! Pain is a sign something is wrong. I'm also not sure what he means by your heart rate having to be in a certain range; that sounds like some very antiquated advice based on the "fat burning zone", which is a myth, and here's why: www.sparkpeople.com/community/ask_the_expe
Losing weight is about your diet... not the exercises you do. You shouldn't have to do something that is hurting your body to lose weight! I would seriously consider a second opinion. You don't need to exercise at ALL to lose weight, in fact; it helps a LOT, but you don't have to do a specific intensity. You always have to adjust your diet to your activity when it comes to weight loss.
Even if your *feet* don't hurt, that doesn't mean your shoes aren't at fault. As the experts here explain often, pain in one places doesn't mean that's where the problem is. Our entire body is a big, interlinking system. That's why shin pain is usually caused by foot problems... you're not banging your shins on anything, it's the shock on your feet!
I suspect the problem is that incline... it's likely putting your body at an unnatural angle, and you're having to compensate by placing undue stress on your calves and ankles. Turn down the incline, and stop worrying about your heart rate being in a certain range.