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Remember R.I.C.E.--rest, ice, compression, elevation--as first aid for joint and muscle injuries. Note that it's ice, not heat for the first 48 hours or as long as swelling is present. Even if you have an injury like a bad ankle sprain that requires medical attention, ice it right away, then go to the doctor, unless you can get to the doc in a few minutes.
Well, this would have been good to know a few weeks ago. My brother sprained his ankle and we were stranded in the middle of nowhere. We were lucky to have some family coming out to join us, but in the meantime, he was in a lot of pain. I had no idea of what to do, so I just wrapped his ankle the best I could. I'll keep RICE in mind next time something this happens, and if I'm lucky, it won't