It sounds like a bladder infection, kidney infection or maybe drinking too much water, tea or coffee.
Sounds like a urinary tract/bladder infection. Schedule an appointment with your doctor, as an antibiotic will be needed. In the meantime, drink plenty of water and cranberry juice.....the bitter kind lol...100% cranberry juice.
If you're needing to pee right after you've just been, then you could be suffering from a UTI (urinary tract infection) or a bladder infection. Either way, it needs to be treated right away or it could get worse.
Another thought is cystitis, which is quite painful and can come from sitting on cold surfaces or wearing tight underwear amongst other things. To be honest, this could well the cause as I have had this in the past and this is exactly how it feels.
The doctor will give you antibiotics which will certainly help but you can help yourself too by drinking plenty of water to flush it through. Cranberry juice is also a good thing to drink.
Waiting too long to go to the toilet can lead to urinary problems too, so always try to go as soon as you feel the need.
The doctor may want to carry out a urine test to determine the actual problem so it is definitely worth taking a urine sample with you when you go to see him. I don't know about you but I can never pee on demand, so prefer to do that in my own time before the doctor visit.
Don't worry though, things like this are very common and equally as easily dealt with. It's just something that should not be left as they don't get better if left untreated, and it can cause permanent bladder problems when left for too long.