It sounds like it could be a UTI. Burning sensation when you pee and frequent need to urinate are both symptoms. I've had 2 UTIs before, both resulted after sex. I went to my doctor, did a simple urine test there and then and got prescribed antibiotics. I was all better within a week.
Next time, make sure you pee before and after sex and clean yourself up well. You can get special feminine wipes to help you do that. Try doing this within 30 minutes after sex.
(PS, don't listen to the anonymous's. Honestly sounds just like what I experienced, you'll be absolutely fine)