The first step is to get the right diagnosis. Shin pain, often called "shin splints" can be caused by many different things. To get rid of the pain you have to know whats causing it.
For example the most common cause of shin pain is an overuse of the muscle which runs along the side of the shin bone. The shin bone is the Tibia, the muscle is the Tibialis Posterior. One of the major roles this muscle plays while running is to decelerate the foot after it strikes the ground while running. In performing this role the muscle can become "overused" and this results in pain.
Overuse could be that your new to running and the muscle isn't strong enough yet to do its deceleration role while running. In which case you should slow down, take smaller strides and put more rest days into your training program.
Shoes which are too stiff for your feet can increase the workload on your shin muscles. There are a number of really good sports shoe stores in New Zealand which can help you get the right shoes for you and avoid this mistake. I have found Smiths Sports Shoes and Shoe Clinic to be good in most cases.
Pronation is when your foot "rolls inwards" too far. This movement causes the arch to lower which is a problem for the shin muscle because it attaches to the foot in the arch area and so when the arch lowers it stretches the muscle further. This is another type of overuse that can occur while running and is commonly called shin splints. You can check if your feet pronate and get orthotics to help with this from our website.