I don’t really know the correct answer to this because I’m not a medical doctor, so if you’ve got shin splints, you should go and see your GP, and anything they say definitely overrides what I say here! I don’t know about *most* effective treatment, because I guess it depends on the type of shin splints and how severe it is. Some really bad cases require immediate medical attention. Other, less severe types, might be best treated by resting up to allow the bones to heal. Another thing that is useful to do is to determine the cause of the shin splints – for instance, if it’s due to your feet not being able to effectively absorb shock when running, one answer might be to use specialist footwear.
Sorry I can’t provide a more complete answer! Does anyone else want to chip in?