If you're reading this and you think the answer is, "pee", you are correct, but do you know why you're right. Doing something without knowledge of why you are doing it, defeats the purpose. Men and women should both be doing this, it isn't just a female thing although thought to be.
Women have short urethras compared to men, so the bacteria they naturally have and the rest foreign from your partner, can make its way to the bladder. This can cause inflammation and a potential UTI, urinary tract infection, which most women have experienced. It's nothing to be extremely worried over however, it is one of the most uncomfortable feelings ever. Peeing immediately after sex can help the spread of bacteria to the bladder. What can further enhance a UTI is having anal sex and then going straight to vaginal.
UTI's can also occur in men, although less frequent because of the urethra path. They can affect the kidneys, bladder, ureters and urethra. Symptoms of UTIs are similar for men and women. They include a constant need to urinate, discomfort during urination, cloudy or discolored urine, and abdominal or lower back pain. I had one when I first became sexually active and I felt like I got hit by a bus, couldn't stop having the urge to pee and my lower back just hurt so much, like that bus's tire ran over it.
So going pee washes out the urinary tract, clearing away some of that bacteria before it can reach the bladder and proliferate like crazy, thereby helping some women and men avoid UTIs.