Excerise gives pain in my shins?

An "overuse" injury: Aches and pains, or actual injuries like small fractures, can happen with repeated stress to a body part. For workers, it can be called a work injury. In sports, it's called an overuse injury. A primary care doctor or a sports medicine doctor can evaluate to see what needs to be done. Usually, anti-inflammatory meds like Motrin or advil (ibuprofen) are used for a 3-5 days, along with decreasing the training.

Several possibilitie: Most likely this is either "shin splints" or "anterior compartment syndrome" associated with exercise. I would go see a good orthopedic surgeon or sports medicine physician.