Jungledoc - and yes, he is a real live professional MD - has taken the time and courtesy to address common sports injuries and actions to be taken. All injury questions posted will be locked down and the originator will be referred to this sticky.
Pain that comes up in relation to lifting can indicate anything from a minor irritation to a life-affecting injury. Take it seriously!
Any pain that occurs suddenly, especially if accompanied with a pop or snap should be a reason for prompt medical evaluation. "Just a sprain"? Sprains can be serious injuries and can lead to long-term problems. Proper care from the beginning can help to minimize that. Any injury that involves the twisting of a joint needs prompt medical attention.
Immediately after this kind of injury occurs, you should stop bearing weight on the joint. Applying ice (with caution not to freeze the skin), and an elastic wrap to control swelling, and elevating the joint all help while you're waiting to get to that medical evaluation. Continuing to use a sprained joint can worsen the injury, and can interfere with good healing.
Those nagging pains that come up more gradually with lifting are less urgent. Usually the first thing to do is to back off on whatever lifting seems to be causing the pain. Trying different grips sometimes helps. Some joints (e.g., shoulders) are more prone to problems caused by imbalances. Stopping the offending lift while working on lifts that restore the balance will sometimes solve the issue. If the problem persists, you need to take your joint to someone who can accurately diagnose the problem. That can be a family doctor or internist if he or she has an interest in such problems, or perhaps an orthopedist or rehabilitation specialist. Physical therapists usually require a referral from a doctor, but a good sports PT can help a lot with this sort of problem.
Advise from other lifters, while it may be interesting, is not a smart way to deal with pain. On a forum, even people with medical knowledge are not able to diagnose you without examining you in person.