Our expert says:
As long as you are certain that it was urine and not you 'ejaculating' (which most women do to a greater or lesser extent); it may be that you could use some kegels (pelvic floor muscle) exercises to strengthen the muscles around the urethra/vagina/anus (these do take some strain during pregnancy and vaginal delivery). Some instructions can be found on the following site: http://sexuality.about.com/od/glossary/g/kegelexercises.htm
You might also find it useful to empty your bladder before sex as penetration can lead to increased need to 'go' - so if there is less urine in there, it might be easier to focus on pleasure rather than fear of leaking...
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