....it is rare, but possible to get an urethra infection from natural bacteria that occurs in the anus/rectum. use a condom. this is not considered an std, but it still happens on occasion.
also, you should try not to go anal then vaginal...this can cause vaginal infections.
Are you using condoms and lube for anal sex? If you aren't, you need to at least be using a lot of lube. The anus doesn't secrete fluid like the vagina does, so having anal without lube can cause tearing for both you and her.
Get a good water based lube, like KY, Astroglide, Wet, Sliquid, etc. Do not use lotion or baby oil, etc. Use a lot of it - don't be stingy on this.
If you are both std free, there shouldn't be any problems health wise.
AJ