Please go to the doctor to be checked out.
Over Christmas my inner thighs were extremely painful and I couldn't bear the pain when I touched my legs. It was an infection - Cellulitis and a course of antibiotis sorted it out. You can get the infection through cuts and punctures in the skin. The bacteria that usualy lives on our skin can enter through the cut into the deeper lays of the skin causing the infection especially if your immune system is low.
With the vein hurting, this may be phlebitis (inflammation of the veins) or varicose veins.
Hope you feel better soon
I hope you have managed to find out what this is so that the problem can be correctly treated.
I would be interested to know what the doctor has diagnosed your problem to be.