Having his penis inside of you means you are no longer a virgin. You have already had sex. There is something called pre-ejaculation which is always present when a guy has an erection and it has been known to contain sperm. It's not all that likely to get pregnant this way, but it is possible. If you are going to engage in sexual activities, you need to be using protection from start to finish. You can take a home pregnancy test 2 weeks after having sex or after a missed period. Use this as your learning lesson to be much more careful from now on. Hope it all goes well.
It is possible, but difficult. However, you don't have to "bleed" to have sex. I never bled the first time I had sex. Many women don't. If you have ANY form of penetration (IE his penis in your vagina) no matter how far it is, it's sex. If you want to get REALLY specific, any sexual activity could be deemed as sex.
Frequent urination can be caused by dozens of things ranging from fluid intake to a UTI. Pregnancy is only one, and frequent urination in pregnancy is due to having an increased blood volume as well as baby pushing on your bladder.