Infection

I was told by my doctor I had a yeast infection. So he gave me medication that you take once and said I should have some relief the first 24 hour. Well that was 5 days ago and it has gotten better but still hasn't gone away completely. I thought it was gone (there wasn't any itching feeling or discharge left) 2 nights ago and decided to have sex, the second my so was in I felt a really bad burning sensation and stopped immediately. After about an hour the discharge came back. I'm really at a loss right now, I was wondering if I should go back to the doctors or go pick up some monistat for yeast infections at the store since the pill didn't work? Or if I should go back to the doctors?