HELP!! I have a painful large pimple like thing on the skin of my private area what is it?

It could be an ingrown hair or it could be a cyst. If it is the type of cyst I'm speaking of and you burst it, it can cause more cysts. You should go to the doctor promptly. There's no shame, they aren't common, but not that rare either. If it is an ingrown hair, they can fix that too why you are there.