Welcome to the forum!
If you tried anal sex for the first time, then your symptoms (burning and itching) could be due to abrasions, mucosal tears, fissures, allergies to latex of condom, or introduction of infection. It can also be hemorrhoids.
I understand your embarrassment about going to a doctor. However there is nothing much that can be done without a confirmed diagnosis. You can sit in warm water tub, apply local piles creams. However if it is not piles (hemorrhoids) then the cream can worsen an existing allergy or cause burning and stinging if there is a mucosal abrasion or tear.
Please discuss this with your doctor and get yourself investigated accordingly. Hope this helps. Take care!
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