Wear good shoes and be aware of the mileage you're putting on them. Many beginning runners are used to measuring the life of shoes in time and outer wear rather than distance. You probably shouldn't be running in shoes with more than a few hundred miles on them (and maybe less if, like me, you are significantly overweight).
Try to run on dirt surfaces or rubberized tracks while building up a regular regimen of running. The impact is much less. Don't try to run through shin splints, they'll just get worse. Stretch a lot.
I would say consider building up to it a bit with a fair of amount of time on an eliptical machine. This, to a degree, put your legs through the range of motion for running without the impact. Part of the process is slowly acclimating your legs to the beating they take.
If they are persistent, you might see an orthopedist about orthotic inserts for your shoes. Lani has these and found they helped quite a bit (once she got them from a non-idiot doctor).
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