Are you fingering yourself or a boy fingering a girl?
No, it shouldn't hurt. If it does, something is wrong. The vagina needs to be wet before anything ever goes into it. If it's not wet, the girl is not turned on or ready for anything to go in there. Try spending more time getting her turned on, kissing, touching, etc. If the girl has problems getting wet, try using some lubricant (you can buy at the drugstore, or spit or water).
A girls gets turned on, her vagina gets wet. Then things can enter. Not before, or yes, it will hurt.