The pain and bleeding is probably from tearing your hymen. Go more slowly next time and USE LUBE. It's a myth that you have to bleed your first time if you're female, so be sure to get the word out to your friends. If it burns when you pee and you have to pee constantly (which is I think what you're saying), you should go to the doctor to see if you have a UTI. Sex can unfortunately cause these, and some girls seem to be very prone to them. It might just be irritation, but urgency suggests that it's something more. If your pee is cloudy, or you get a fever then you definitely should see a doctor, since these are often indications of a UTI. If you start itching really badly, you should get checked for a yeast infection (and these can also cause burning when you pee).
A bath might feel nice, and if it makes you feel better then by all means do it. You shouldn't let liquids get inside you as a general rule, because your vagina is self-cleaning and does best when left alone to regulate its own pH.
Hope you feel better, and remember to use protection.
Hi Sanju, Its ok your just normal, all females get this it was you hyman breaking, there are no ways of stopping this happening to any girl, some of you bleed very little to some who will bleed for a couple of days, the burning your getting along with the urination just the same it will pass, give your self a nice warm sea salt bath and let this get inside you, it will help you clean and heal yourself, do this twice daily for the next 2 days and things should clear up.
Good Luck