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This is another area where the game changes a bit. Your health will be on a different system in ODST than it was in previous Halo games. But if you played the original Halo, then you will be familiar with this newer version, as it's pretty close to the same. Basically, you'll have a health bar that you need to keep watch on, and you'll have to recharge your overshield as well - both of which are now shown at the upper portion of your screen while in Halo 3 ODST. While you cannot heal yourself if your shield fails, there will be some health packs spread out throughout the city that you can find and pick up. So, make sure that you search everywhere for these as well.
When you take hits to your shield in Halo 3 ODST, you will see that the screen turns brighter and brighter red as your shield gives out. If it goes completely out, you'll hear yourself start to wheeze as you don't have any air now - and if you get hit, your health will go down. So make sure that you keep and eye on your shield all the time and give it time to regenerate when you can.