Have a hard time holding in my bladder.

I've been having problems when I cough. I link some urine in my pants. I've been having this problem for the last two weeks and just don't know what to do. It is frustrating and I'm embarrassed to talk to a doctor about it. What should I do? Should I go get urinalysis done to see if I have a problem with my urine? I'm afraid to go to the hospital next plane situation so what should I do because I'm just so afraid that nobody would do anything. My sister told me I need to do something about this. Because she says I'm 24 years old and I should not be having this problem and it's embarrassing to her and to me to go from with this problem. I just need help very bad thing before I go insane. Don't know what to do I'm tired of passing all over me. I just want to be over this pain and suffering. When I do pee it burns and stings. So please tell me what I. Need to do so that I am not uncomfortable anymore? It happens a lot more when I am asleep at night. So can you help me by helping me out ty