Aye, what Rob says ..
REST = Rest it duh! For as long as you need, normally 3 days for normal injuries, but shin splints are a pain in the ass, but with shin splints you can do other exercise (swimming, cycling, other aerobic gym machines that don't cause impact)
ICE= Ice or a bag of frozen food like Rob says. Always place a towel between your skin and the Ice. Alternate 10 minutes on, 10 minutes off for 3 hours then rest 3 hours is optimal. Otherwise just ice it when you can, 10 mins off 10 mins on. It decreases the blood flow, decreases swelling.
COMPRESS= Wrap your shins with a bandage. The bandage should fit comfortably on not tightly. It prevents bloodflow hence prevents swelling.
ELEVATE = Raise your shins above the level of your heart, if you're lying down even 1 pillow will do. Again it decreases bloodflow and decreases swelling to the shins.
My bet is that you've been running on hard ground??
