What kinds of surfaces are you walking on? Impact from hard surfaces like concrete can cause tiny micro-tears in your shin muscles---shinsplints. Try walking in grass or on asphalt (it's slightly softer than concrete).
As far as I know, there aren't any particular stretches that can help. Let me know if you figure one out, though.
And, as the people who posted before me mentioned, shoes can make a world of difference. Ask someone working at an athletic shoe store to help you find a good pair. Be sure to tell him/her whether your feet have high, normal, or low arches. High arches cause underpronation and low arches cause underpronation, and neither one is good for shinsplints. Fortunately, the right shoe can help correct either condition. Best of luck to ya!