You'll need to ice your shins repeat this process on and off for 1hr. Then evaluate the area to see/touch if the pain has gone down . If you have very severe shin skin splints then you'll need to rest for a couple of days. Take some pain medication to help the injury. If your shin splints are still burning a couple days after you do this, then talk to your doctor and find out if your shins are more injured than you thought.