I have this thing on my arm. It burns to the touch...picture attached?

[kendall6406]

I got bit by something 2 days ago on my back and now I have this rash or something on my arm. It burns to the touch, could they be related? Should I go to the doctor? I attached a picture i picked at it a little and a little pus came out. I am kind of worried. If anyone can help please do so.

<http://s557.photobucket.com/albums/ss14/kendall6406/?action=view&current=photo.jpg>

Thumbnail at the bottom. of page please look at it.