By the way you phrased most of this, you sound young. Depending on how young you are, you may not be physically ready for sex, that may be one reason why it hurts.
This may sound a little dumb, but make sure that you are using the right hole.
Sex hurts almost everyone the first time, or the first couple of times, but then it starts to feel good. The intitial getting it in is a little difficult for some people, after he gets completely inside you it should definetly hurt less. My advice would be to just take it slow and gently the first couple times and that should make it alot more comfortable.
Also, if something doesn't feel good, don't be afraid to let your partner know, he doesn't want to hurt you, but he doesn't know what you feel. You can also use your hands to help direct him.
Hopefully this helps.