That could be a few different things. Your best bet would be to see an ob-gyn. You're supposed to see one when you become sexually active anyway.

i had that too. everytime i had sex, on the rougher side, it seemed that everytime i went pee it burned. i talked to my dctr and she said it could be the way the penis is massaging inside of your vagina and it may rupture your bladder. and i noticed that when i dont drink water, when i go pee, it burns and when i drink plenty of water, my pee is perfectly normal. dont worry, hope ive helped =]