Bleeding after sex

Madison
So I am now with a new man and we had sex and he has a very large member, he takes things slow for me until I get comfortable, but when he goes all the way in it hurts really bad and I even bled this last time. What does this mean? And also when I went pee after we has sex it burned really bad and it's been a day and it still burns a lot, this is also the first time this has happened and I had just gone to the dr for a check up not long ago and she said everything was fine