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Ok, here goes:
Go to a running store that does only running and have them analyze your gait. If you can afford it, buy what they reccommend. If you would like to find one, find a local running club and ask.
Run on grass or dirt, even a track is too hard. If you want to run around a track, run on the infield.
Cold showers just mean more pain to me, it'll make your whole body stiff, YMMV though
Icing is good after a proper cooldown stretching.
Ice by doing this: get a dixie cup, fill it with water, and freeze it. Rip part of it off and rub it on your shins. No more than 15 minutes. This is meant for shin splints only.
The last thing is that shin splints hurt a ton, but they won't kill you. Warm up really well, and they go away. Most runners I know run through it, and for me it eventually goes away, although my shins are almost always extremely sore upon touching them.
This stuff applies only to shin splints, and not stress fractures. If they don't go away after a few miles of warming, there is a possiblity that your shins hurt due to something else, and you probably should see a doctor.
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