To help prevent Shin Splints it is very important for athletes and runners to slowly build up their level of activity and always have a solid warm-up.
Orthotics are useful in that they help prevent over-pronation, thereby reducing the strain placed on the muscles and ligaments in the lower leg.
Also, running shoes with proper rearfoot stability are important. Other recommended forms of treatment: Ice therapy, rest, deep tissue massage and calf stretches.
If the problem persists, you should consult a physiotherapist.