Irritation And Burning Sensation On Penis After Having Protected Sex. No Relief With Medication. STD?

hi doc, i had a sex with one of the sex worker, i used condom but the very next day i was feeling slight burning sensation n slight irritation at the tip of my penis for 4 days and then the burning sensation increased but there was no pain while urinating or discharge , but i feel like urinating more. i told to my friend who was a doc. he gave me DOXYCYCLINE 100mg for 7days twice daily and a shot ( injection ) without any test, i have completed the course, now its almost 20 days but still having slight irritation at the tip and there is pain in the left side of my stomach and also in my thigh. i didnt have sex till now but i had 2 times with my wife before the medication. i am worried that i might have got std or may be i have transfered to my wife... but she is not having any problems or sign.... plz suggest me what to do should i visit a doctor n tell him abt the problem or it will go on is own.