If it hurts when you urinate, or feel that you have to go all the time, you may have an infection. If it also hurts when you have sex, it could be that you have a UTI. Your urine may be cloudy, and have a pinkish tinge, as well as an unpleasant odour. You should pay a visit to the doctor, who will most likely do a test for bacteria, and probably prescribe a course of antibiotics to kill the infection.
UTI infections affect both men and women, and make urinating or sex painful for both sexes.