There is a thin membrane of tissue across the vaginal opening called the hymen. Historically, it was believed that the hymen was a sign of sexual purity that was "broken" the first time a female had intercourse.
Nowadays, it's recognized that hymens come in all shapes and sizes, and that they can break and bleed due to playing sports, a pelvic exam, or by using tampons. The condition of a hymen does not "prove" virginity.