What Causes Pain And Burning Sensation In Penis During Sex?

I seem to have a bad burning sensation in my penis on the left side and from the base to the tip. My pee is very yellow to orange and it seems to hurt after I have sex. If i drink lots of water it gets better somewhat. Its been going on for awhile. And my girlfriend went to the doctor and she did have a bladder infection. I went to the doctor and they couldnt find anything. I also had a sonogram on my kindneys and no stones or anything. What do you THink?