You probably have an abrasion and when you urinate, it causes it to sting. This is if it hurts as you pee. If you have s frequent urge to pee and then a burning as the stream comes to an end inside (not outside/externally) then it could be a uti. It happens when bacteria and fecal matter get pushed into the urethra. Uti require antibiotics. So, does it sound like one of those situations?