could be a few things.
your vagina is lined with the same sort of tissue that lines your mouth (pseudocornified stratified squamous epithelium, but you don't have to know that), and i'm sure you know how easy it is to cut that stuff like when you bite the inside of your lip or something.
well, the same deal happens when you have sex, the tissue can cut and tear a little bit. this is why it is very important to use a water-based lubricant such as Astroglide (me ... like ... ASTROGLIDE!!!) on the inside surface and on the outside of the condom (you are using a condom, right?!?!). Apply the lube thusly, and a little to the vulva and vaginal opening. This should make penetration a lot less harsh.
let yourself heal up. don't use tampons and don't have sex for a few days. then next itme, follow the above advice.
as for the burning when you pee, that could be the urine irrtating the cuts and tears, or it could be a urinary tract infection. do you find yourself spotting blood when you pee? do you need to pee frequently? does it feel like you've been punched in the belly when you pee? if you say yes to these symptoms, then it might well be a UTI; a UTI needs to be treated by your doctor (who will probably give you antibiotics), if you let it slide, you could wind up with a kidney infection, which can lead to kidney failure. not good!
so, hang in there. it's important to pee before and after sex. if he can see you naked, then saying "hey, gimme a second to pee" should be no problem.
and remember that part of sexual responsibility is maintaining your health. if you feel something weird, and usspect that sex 'caused it, you still have to go see a doc, even if your folks might find out what you've been up to. nothing's worth risking your health or your partner's health.
i use angst