When you expect pain, you get pain. When you clench your muscle (like you're holding pee) then anything thats going in is going to hurt because its going against the muscles. Did you use lube? Did you do enough foreplay beforehand?
Try masturbating on your own by inserting your finger(s). Use lots of lube and just practice relaxing your muscles while your fingers are inside. Once you can do that then explore what feels good.
Next time your guy enters you, just take a minute with zero movement, just so you can get used to the feel of him being there and relax. If you can't relax, then stop-- do not for any reason just sit through painful sex.
If none of this works, then speak with a doctor. Since you're now having sex its a good time for a pelvic exam anyways.