It sounds like you could have a bladder/renal infection....the difficulty in urinating and the feeling that you need to pee even after you just went; the ache in the kidneys --all these could be symptoms. If you have accompanying fever (even low grade, ie 99 degrees) you might want to get it checked by the doctor.
Or you may have stessed the kidneys from dehydrating yourself and taking too much protein dietary supplement (if that is indeed what you do). And, from what you have said, it does sound like you may done that. Be sure to drink a lot of water-- at least 3 liters a day. Add fresh squeezed lemon juice to each glass-- and you can sweeten it with maple syrup, if you must (as per "kidney flush") so that you will get the best results.
Also, you mention you take a lot of protein. Too much protein stresses the kidneys, as that is their main function, to filter proteins. Make sure you stick to the normal dietary requirements for protein. If you are taking powdered proteins, as in those power-building drinks, then stop--at least until the kidney pains go away entirely. If you add the protein supplements back in later, do so gradually, perhaps one drink every other day, taking note how your kidneys feel. Instead of the powders, add a few almonds each day to your diet, as those are a good source of protein and calcium, and the kidneys metabolize them easier. And remember to drink, drink, drink.
I have also found that when I do an alkalyzing diet (basically lemon juice water and citrus fruits), my kidneys feel much better --I also suffer with frequent kidney pain and have had tendencies towards kidney stones
over the years.
The key to NOT developing stones it to stay hydrated. Keep the kidneys flushed. (By drinking lots of water.) And reduce the acidity in your blood/urine-- as I mentioned. The best way to do that is by taking lots of lemon juice and citrus and avoiding too much meat, especially red meat (which really raises acidity in the blood and urine).
Your headaches are probably also caused by dehydration, especially when you exercise. Drink a couple of glasses of lemon juice and water with a pinch or two of salt (and a teaspoon of sugar, if you must have it sweetened) before you exercise and then another two glasses after you exercise and you should feel better immediately.
I hope this helps.