You aren't going to pee. For women the sensation of needing to pee if actually because you are coming close to ejaculation. (yes, women can ejaculate too!) You need to relax and enjoy it. If your boyfriend pushes his fingers against the front wall of the vagina he will be able to feel a rough area, this is your g spot. Stimulation here can cause you to ejaculate, and have a squirting orgasm. Relax and 'let yourself pee', I can assure you it's not pee, it will be colourless and odourless, and if you let it come, you will have the best orgasm of your life. The reason it feels like you need to pee is because the ejaculate comes from the urethra. I can find you any number of articles on the subject if you want, just quote me.
On another note, I've found that it can be easier to please a girl by stimulating the clitoris, or even better, both at the same time; ask your boyfriend to play with your clitoris with his tongue while fingering you.
You may want to explain some of this to your boyfriend first, and talk to him about it. You don't want him thinking you peed on him lol! The chances are he already knows more than you do on this topic though. He's a boy, and boys investigate as much as they can at a young age (especially with the wonders of the internet).
Let yourself come, it will be the best orgasm you've ever had. Girls are lucky in that there are many types of orgasm for then, of varying intensity from okay to pure ecstacy... for guys it's all the same really.
Sorry if this breaks any rules about 'sex tips' or whatever, I'm only trying to explain