Burning on urination, especially at the beginning of urination, is a symptom of urethritis (infection/inflammation of the urethra).
Many sexually-transmitted diseases (bacteria, fungi, viruses) appear initially as urethritis, but, other things can be reason for this condition, too.
Using spermicide and injury can lead to urethritis in some men.
First thing you need to do is to give urine samples for checking for microorganisms.
For how long you've been experiencing this?
Have you used cream, lotion or cologne on your genitals recently?