Probably an ingrown hair. Not much you can do once it's there...it'll work it's way out. Here are some things that you can do to make this more bearable for you.

1) Wear loose fitting underwear and pants (nothing really tight, and cotton underwear will suffice) so there is less friction and less irritation.

2) GENTLY exfoliate and moisturize the area so the dead skin can be released that is blocking the hair.

If you can actually see the hair in there (sometimes you can), you can try and tweeze it a little...release some of it out from under the skin. But, don't pluck it all the way...it is more likely to come back ingrown that way.

This website will give you tips on how to prevent ingrown hairs in the future, along with how to treat future ingrown hairs.