What is wrong with my bladder?

sounds like a serious case of Urinary Tract Infection. That causes the constant urination and pain. If left untreated it can spread to the kidneys which is probably what you are feeling. Also it can cause blood in the urine. Your doctor was right to put you on meds but, there are different types of U.T.I's, they probably gave you the meds for the common infections. Let your doctor know that the meds aren't working and maybe you need a different kind. Once there's blood in the urine and the kidneys start hurting it's pretty serious and needs to be taken care of immediatly.