Your hymen is located at the entrance of the vagina. All this talk of hymens breaking or popping is what causes so much confusion. They don't literally break or pop like a balloon. And it is not all or nothing. You can have sex and still have a little of your hymen left.
Some women bleed a little and feel some pain or discomfort the first time they have sex. Some like me, don't know when they lost theirs and they don't bleed or feel any pain.
It's such an odd part of the body it's hard to describe. If you type "hymen gallery" into the search engine you should be able to find a diagram that can show you better than I can describe it.