This is the first that I've heard of compression sleeves providing releif for shin splints... Rockerbetty: I'm thrilled that it worked for you, but I'm skeptical that you had shin splints... For what it's worth, there is a lot of argument regarding the actual virtues (or lack thereof) of compression sleeves, but in the end, if it works for you for something, then it must be good for you.
Regarding your shin splints: Just because your shins hurt doesn't mean that you have shin splints. The quick test is press the area of your shin and if you find a specific spot of definitive pain, you may have a stress fracture. Google it to get more specific information.
If you do in fact have shin splits, there are ways to aleviate your discomfort. Google it and you will get all kinds of things to try. I'd include a link here, but there are so many that it's difficult to just pick one.
Good luck!
-bill