There can be lots of causes for your problems. I'd first check to see if you have a urinary tract infection, bladder infection, even kidney infection. You'd need to see the doctor for this. Lots of women, even those without any other sort of disease, can experience this. Our urinary tracts aren't put together very strongly, and injury can cause these problems (having sex, having babies, being overweight..and sometimes, just being female..can all be contributing factors).
If infection and/or injury are ruled out..then yes, if you have MS, it can affect bladder control. But the stress incontinence you describe -- peeing upon sneezing, coughing, etc. -- is pretty common in women. (That's why you see all the commercials you see for Poise pads, and other incontinence products, aimed at women.)