It sounds like shin splints to me, too. I ran into that problem myself. The best exercise for me was to stand by the wall (with my back to the wall, leaning only slightly for support) and lift my feet while keeping the heels on the floor. Repeat ad nauseum. When I had my initial phys. consultation at the gym, the trainer recommended the same exercise.
Make sure you don't increase your level too quickly, I tend to do that since I am impatient. For some reason, I simply cannot walk faster than 4 mph on the treadmill, then my shins start hurting again. I "fooled" my body by jogging at 4.6 mph instead (and then I had a problem with hip joints, but that's another story
). Also, make sure you have good running shoes, that's half the battle.
Good luck!