back in my track days, i use to ice it for like 15-30 minutes. sometimes used icy hot. and like jessicak said bandage it up. if its really bad, you should opt for some anti-inflammatory meds.
i use to run 36 miles a day(that includes the warmups and everything of both early morning and evening practice). dear god i remember the shin splits and even worse...STRESS FRACTURES..in my first year...absolutely horrible but well worth it when we made it to the penn relays and met michael johnson, maurice green and marion jones!
oh but all those things that i mentioned in no way will make it all go away. if you haven't been running at all and then if you start doing a lot of it all of a sudden then this problem will persist for a long time. if the splits get really bad and you notice stress fractures then slow down a bit with the regiment and rest your legs a bit more. and one of THE most important things is to stretch REALLY well before doing any running. break up your regiment into 15-75-10 of warmup-training-cooldown period. at least this is what i used...you can and should vary yours based on what works for you...but the point is not to skimp out on the warm up part...its very important.
sorry if im just telling you things you already know...but still...figured id let you know just in case.
hope this helps!
edit: lol looks like ppl already suggested most of the things i did. got a little sidetracked so by the time i posted i didn't bother refreshing to see the additional respones in this thread. sorry for the repost of info!