Here are a few things I learned when I began running. Some have been said already, but they are worth repeating:
Getting the right shoes is really important. Go to a specialty running store and have someone look at your feet and your stride and help you find a good shoe and the right size--my running shoes are 1.5 sizes up from my dress shoe size.
I had problems with shin splints when I first began running. A friend I work with (a professor in the health and human performance department at my university) suggested stretching my calves really well after running. I was stretching them, but I added some additional calf stretching, and the problem went away pretty quickly. I also stop and do a gentle stretch of each calf after my warm up and before I begin my run.
If you do run on grass or dirt (I run on concrete mostly, asphalt when I can), be sure it is level, or you can injure yourself worse than running on the street. And it IS harder to run outdoors than indoors, but I also enjoy it more. For one, my dog can run with me, and I enjoy seeing the differences in seasons and times of day outdoors. Plus, it's free.
I can sympathize with beginning pains! When I first began running, I was surprised at how the smaller muscles in my feet and ankles had to adjust to the exercise, since I was already walking 4 miles a day. Now I love it.
I've gotten a lot of good information from Runner's World, too. Check out their website:
http://www.runnersworld.com . And good luck

!