Your symptoms are fairly common. There are many causes of leg pain, however it is often very difficult to track down the exact cause. At best, we can often rule out if there is a serious cause of these symptoms. As such, I would recommend that you see your primary care doctor
. He or she can triage your complaints and rule out various causes. If required (if related to the bone or joint) than you may require an orthopedist. That being said, I would not start with an orthopedist as they are probably too specialized to deal with your complaint at present.
Leg pains can be caused by various causes. The most common cause in a young women your age is what we call shin splints. This is minor trauma to the bone and muscle in the shin that occurs due to repetitive stress (walking, running etc). This minor trauma is not related to a broken bone, but simply inflammation in the area. This can be exacerbated with cold weather (or rain) -- but so can any cause of inflammation. Shoe supports, NSAIDs, etc can be used to limit this.
Other causes include nerve problems, blood clots, arthritis
and dermatologic changes.
See your primary care doctor first. Good luck!