Yes, you should definately see a doctor. Some std's don't show for a while as they lie dormant for long periods of time, so you could have herpes, warts, etc. But, most likely it is probably just some kind of an infection. Or, you two could have had sex one time that injured you and just hasn't healed up yet. That could be what is burning you.
I agree totally with the latex allery that kia mentioned. It is very common and can be very uncomfortable. But, to rule out anything serious or just something minor that can be treated easily, go see a doc. Your doctor wont be offended that you want to see a female doctor. You can even go to a family planning type place and see the nurse practioner there. Since you are sexually active you really need to be getting your annual pap tests anyway.