It is a thin membrane that covers entrance in vagina. Once you are sexually active it is torn and you no longer have it (popping the cherry).
"Once a girl reaches puberty the hymen tends to become so elastic that it's not possible to determine whether a woman uses tampons or not by examining a hymen. In one survey only 43% of women reported bleeding the first time they had sex; indicating that the vagina of a majority of women is sufficiently opened." -Wikipedia.
Your girlfriend's hymen was closed.
During penetration, the hymen broke and she started bleeding.
You both had abstained from sex meaning that you could not have got HIV through unprotected sex. Unless you had shared dirty needles.
Oral sex is a lower risk for HIV compared to vaginal and anal sex.