I am experiencing pain when urinating, cloudy urine, white discharge in underwear, itch and burning sensation on vagina. What's wrong?

Vaginal infection. You are describing the classical monilial vaginitis (yeast infection), though a vaginal examination by a physician is necessary to prove this. Many patients will try an over the counter yeast medication, such as monostat, or gyne-lotrimin, before seeing their doctor. If you are having notably increased frequency of urination in addition to pain with urination, this may signify a uti.