I suffer from shin splints; I have been icing my legs, but it doesn't help.

The medical term associated with shin splints is Medial Tibial Stress Syndrome, used to describe the pain that results from foot-to-ground-impact activities like running. The cause of shin splints remains a subject of debate, but one theory holds that due to excessive forces, the muscular attachments along the tibia (shin bone) become inflamed. The discomfort associated with shin splints ranges from a dull ache to intense pain, which gets worse with continued exertion. (The pain is diffuse, along the entire leg, as opposed to a stress fracture, which involves localized pinpoint pain.)
The American Academy of Orthopedic Surgeons (AAOS) agrees that "resolving the problem requires rest." For rehabilitating shins, the AAOS recommends first doing range of motion exercises, like toe raises: Standing on the edge of a step on the balls of your feet, lift yourself up on your toes, then lower yourself back down and repeat. (Be sure not to bounce or overstretch.) Range-of-motion exercises should then be followed by strengthening exercises, like towel pulls: Sitting in a chair, wrap a towel under the toes of your injured leg like a stirrup; bending at your ankle only, lift your foot up as high as you can by pulling up on the ends of the towel, then press your foot down toward the floor as you add resistance by pulling up on the towel. After the shin pain subsides, you can ease back into exercise. For example, runners can alternate running and walking for five minutes at a time for a period of 20 minutes, then increase the running segments by five minutes every five days until they reach their regular mileage. It is important to pay close attention to the surface you're running on: Packed gravel is ideal; concrete is too hard; and grass or sand can cause your feet to hyperpronate, or roll inward. For support, purchase sneakers that offer increased control of pronation and replace them every couple of months. Postworkout, be sure to ice and massage your shins.