Burning during sex?

Eden
Today was the first day we tried having sex without a condom but we started with one on then took it off. 
After a few moments it started burning really really badly on the outside of my vaginal opening. I've never had unprotected sex before. 
It burned so bad I jumped into his shower and had to clean myself, after the shower it felt significantly better.
Any ideas what could be wrong? I have no abnormal discharge or smells.