You don't mention your age, but if you are older (or low on hormones for some reason) you may have "vaginal atrophy"...it causes both vaginal and urinary symptoms. You need to have a thorough exam.
My friend have the same problem as yours, and when she go to his doctor, they found out that she has a cervical cancer, and please don't let this continue for your safety.
First of all, see a gynecologist ASAP because you may have an infection or other medical condition. If you don't have a gynecologist, call your nearest Planned Parenthood or women's clinic. They offer free or low-cost confidential services.
If you're having penis-vagina sex and you're not turned on, you're probably irritating all those delicate vagina tissues as well as your urethra. It's always a good idea to urinate immediately after p-v sex so you flush out any bacteria from your partner's penis. And, of course, use a condom and spermicide. One other possibility is that you're allergic to a particular brand of condom or spermicide.
Please DO NOT ever have any kind of insertive sex unless you’re very turned on. Sometimes, people rush toward what they consider “the main event” without realizing that a) sex should not have a goal; all touch can be pleasurable, and b) any kind of penetration can be painful if you’re not sufficiently turned on.
In addition, if your partner had little or no sexual experience, he might not have been aware that both of you need to be very turned on before p-v sex, and that it takes time. You need lots of touching, kissing, etc. and whatever else turns you on. Good luck to you. Dr. J