It could be that the muscles around your shins are inflamed ... and gentle massage will help relieve the pain. Or you might have shin splints caused by doing too much too soon.
When you run, your legs absorb a force 3 or 4 times your weight. Piling on the miles too quickly can cause the tissue surrounding your shins to become inflamed.
Wrap an ice cube in a thin rag and firmly rub it up and down your leg on both sides of your shinbone for 15 minutes at a time.