At the end of haveing sex I don't have a happy ending. But when I play with myself I have a happy ending?

This may be normal. I disagree with dr zawawi. For many women and some men, orgasm is far easier to achieve during self-stimulation or masturbation. Orgasm with a partner requires that both partners be "in tune" with the other, stay relaxed, and communicate. Therapy is only required if this problem is bothersome to you and doesn't improve after conversation and work with your partner. Try that first!
No O. Some estimate that as many as 70% women don't orgasm during sexual intercourse - unless there is direct clitoral stimulation. Encourage him to lend a hand.