The explanation of what SHIN SPLINTS are (as given by Bootleg) is incorrect, but other maladies seem to have been redefined in the past several decades ...
Basically, "Shin Splints" are an adhesion of the tibialis anterior to the tibia due to lack of lubricity of the adjoining surface ... this is often due to lack of prior use at the level the 'athlete' is suddenly subjecting the area to.
Rest will certainly seem to help ...
But, continued activity during the suggested rest period probably won't affect when the pain no longer occurs.
Warm up more ... much more ... then, grin-and-bear-it.
IF IT HURTS WHEN YOU AREN'T MOVING, then it may not be Shin Splints ... if you think you have stress fractures, then see a doctor.