Yes, go to your doctor and get it checked out as soon as you can.
It could be a vaginal infection or you could have a Urinary Tract Infection, which can also happen after sex. If it is a UTI, in the future, make sure to always urinate immediately after sex to prevent infection.
Also, if you didn't use a condom, you need to next time and every other time you have sex. Unfortunately, it is also possible that this is an STD.