Since you're posting here, does this mean you have self-diagnosed shin splints?
I have had shin splints in the past, as has my daughter. There isn't much you can do, but if your current exercise takes place on an extremely hard surface like a street or sidewalk, you'd probably be better off getting to a track, gym or treadmill. The softer surface will be easier on your legs. If you're wearing good, supportive shoes, then there's no reason to invest in expensive shoes (hard to respond since I don't know what you mean by 'expensive'). You can exercise through shin splints, depending on the severity and your ability to tolerate pain. Post-exercise ice/elevation/ibuprofin should help.
"It does me no injury for my neighbour to say there are 20 gods or no god. It neither picks my pocket, nor breaks my leg."
-- Thomas Jefferson