You can run through shin splints, but only if they really are shin splints. If they are stress fractures, you're out for the count. Shin splints should not be hurting after you've warmed up.
That being said, if they are shin splints, you can help them out by running on grass or dirt, softer surfaces than asphalt. Also, make sure you're wearing the right type of shoes for you and that they are well cushioned and not worn down. If you need to know the right type of shoe, go to a real running store.
Ice the shin splints directly after a run, by putting water in a dixie cup, freezing it, ripping off the top so that part of the ice is exposed. Then rub it on your shins for at most 15 minutes, 10 would probably be enough. If they are really bad, take a day off and do pool running, biking, or ellyptical training.
Let me tell you, just about every runner that does enough mileage gets them at some point, but if treat them right, they'll hurt less severely. Just touch a runner's shin, and often they'll howl in pain from it though.
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