Good for you for thinking about your health! Yes, you do need to see an OB-GYN when you become sexually active. Here are some websites that might help out:
http://www.kidshealth.org/teen/sexua...bgyn.html-30k- Women's Health, - Articles
Like zrhodes said, you can go to a clinic without your folks finding out. Everyone is a little nervous the first time they go, but, trust me, there is nothing to be nervous about. The exam doesn't hurt, and the people who work there are trained to make you feel comfortable about being there. Hope this helps!