It's been around for a little while, it isn't causing me any pain and hasn't really effected me much. It is a very thin membrane that seems to inflate slightly when erect. What is it?

I haven't had much sexual experience, I have had oppurtunities, but have wasted them because I am embarassed of it.

It looks as if I could pop it with a sterilised needle, but what repercussions would there be if I were to do so?

Thanks in advance.