Problems with urinating?

I've had this problem with almost constantly feeling like I need to pee, for about 3 weeks. I noticed it about a day after I had sex (for only the 2nd time in my life, I was a virgin until a few days before). I feel a pressure in my lower abdomen, like where I wear my pants, and my urethra area kinda feels like it's trying to pee, but it's not, and it's a little sore. When I stand up and start walking around, I get the sudden urge to pee, and if I don't get to the bathroom right away, I leak a little. I get these feelings multiple times a day, and it's woken me up a few times. What's wrong with me? Do I need to see a doctor? (And did having sex possibly cause this?)