If you have burning while peeing directly after sex and continuing for a few days after then don't worry, this happens when the urethra is massaged and compressed during sex resulting in your urethra becoming swollen and sore. Thrusting and vaginal dryness can also cause small splits in your vulva which can cause pain when pee hits your vulva. If using condoms be aware sometimes you can be allergic to the condom or spermicide so you may want to try using a different brand or type of condom to find what works best for you and for the fun of having lots of sex to try them out. Chances are that you are just experiencing this rather than anything serious, so don't worry, as long as you keep clean and it doesn't get any worse over the next few days then you are fine.
If the burning starts a day or so after sex then it's probably a urinary tract infection (UTI), this burns as you start peeing getting worse as you empty your bladder and can make you feel like you need to pee more often. This infection is common because women's urethra's are short so it's easier during sex for bacteria around your vagina and vulva to get into the urethra, thus why you pee after sex and wash genitals to flush bacteria out from your urethra. This infection occurs particularly when you have sex a lot or start having sex, although not a STI it can also be passed between partners so if you have reoccuring problems get your partner treated even if he has no symptoms. UTI's are easy to treat with antibiotics or with home methods such as drinking lots of water and unsweetened cranberry juice, also washing with warm salt water after peeing to clean and ease pain. These infections are normally quite harmless but if it carries on for a few days or gets worse then it's time to see a doctor as if left untreated the infection can spread further into your bladder and kidneys - trust me these infections can be very painful so if it gets worse see a doctor immediately.