I agree with Pienkfly - it sounds like a urinary tract infection (cystitis). They can be caused by bacteria getting into your urethra so you need to be sure always to wipe/eash yourself from front to back. It can also be caused by vigorous sex if you are not sufficiently lubricated - try more foreplay or a lubricant.
This will get worse not better if you don't treat it and, pretty soon you could feel like you are peeing razorblades! Drink plenty of water (and cranberry juice) - it makes you need to go more often but it is more dilute and so less painful. Get a doctor's appointment and take a urine sample with you in a clean jar that you have sterilised with some boiling water. Antibiotics will bring relief quickly.
It sounds like a bladder infection. When this happens to me I take cranberry tablets from the health shop. They are harmless and help pretty quickly. Also even though it can be uncomfortable drink lots of water and cranberry jiuce. If you catch this early you shouldnt need any antibiotics.
A constant thirst accompanied by needing to wee alot is also a symptom of diabeties so it is definately something that you should mention to your doctor on your next routine visit...
Definitely a bladder infection or urinary tract. If this has gone on for a few days, this sometimes cant be treated by cranberry juice, best to see your doctor and take a urine sample, he will test it and give you some antibiotics. But if you get like this again, the second you realise symptons like this, start drinking cranberry or lemon barley is good also. Sometimes I drink cranberry or lemon barley with a tea spoon of bi-carb. It tastes abit awful but works everytime!!