I think that you need to amputate your finger. j/k!!!
Get a pin or needle and just dig it out (although you should clean it first). I've heard something about bread dipped in milk or something, but don't know if that really works or not.
Edit: found this website, which gives very helpful instructions. Splinter Removal
Last edited by Sicilian Babe; 06/19/0812:29 PM. Reason: add link