Every time I feel like I want to orgasm, I stop because it feels like I have to pee. I don't know if I have to pee or if I'm really having an orgasm. Please help.
Sexual physiology has confused and confounded most people at some point. Wanting to have an orgasm, and having the courage to ask for the information you need to have one, are two big steps in the right direction.
As for your question, the answer depends on a few factors, one being your sex. Men do not urinate and ejaculate at the same time. When a man is about to ejaculate, the opening to his bladder closes to prevent urine from mixing with semen. So, men can feel free to relax and go with the flow, because they don't pee when they come.
For women, things are a little more complicated. It's possible for women to urinate and orgasm at the same time, and, as a result, some women do hold back on orgasms to prevent this from happening. However, it's also easy to confuse the sensation of impending orgasm with the urge to pee. What's more, many women experience "female ejaculation," which involves expelling a liquid that is not urine (read Orgasms, female ejaculation, and the G-spot, again for more info). Many women (and men) enjoy female ejaculation, even with the sometimes abundant fluid that accompanies orgasm.
During sex, fingers, hands, penis, or other object may be putting pressure on a woman's bladder. If you look at female anatomy diagrams, it's easy to see how close the clitoris and vagina are to the bladder, and why the bladder might get prodded during sex. Women who have urinary stress incontinence sometimes "leak" urine when they laugh, sneeze, or orgasm. This is more common in women who have had children. Women can gain control over "leaking" by practicing Kegel exercises, which strengthen the pelvic muscles around the vagina and urethra. (To learn how, check out Kegel Technique.)
Women who do not experience urinary incontinence at other times, but feel the urge to pee when approaching orgasm, may be getting confusing messages from very sensitive parts of their bodies. The clitoris, often the focus of sexual pleasure for women, is located about a finger width above the opening of the urethra. It's hard to stimulate one without rubbing the other. Women may feel most comfortable emptying the bladder before sex, that way they can feel free to let go and/or come!Alice!