When i walk i get hot legs that are quite painful and i have to rub them, is thi!

You may have tight muscles in your lower back that are pressing into the nerves going to your legs to cause that to happen. Freeing up your back muscles will get rid of the pressure on the nerves to get rid of the pain and here's how to free them up:
Back:
(do from a sitting position)
Place your left hand on your left leg next to your body. Place your right hand over your left shoulder, fingers over the back and the palm in the front and firmly pull down on them and hold. After 30 seconds slowly lower your body forward and to the outside of your left leg, keeping your left arm fairly straight as you do. When you reach your lap remain there for another 10 seconds, release the pressure but rest there for another 30 seconds. Then reverse your hand positions and do your right side.
For best results relax your body first by taking a deep breath and exhaling then remain this relaxed.

its not really normal no.
i legs hurt like crazy if i get to stressed but if you are not stressed id ask your dr to give you a check up and ask for a blood test to see if you are lacking certain vitamins
are you power walking or walking several miles a day if so then it could be muscle issue from not warming up properly but id still see the dr

best wishes