Sex should never hurt, your first time or any time after that.
If he is very long, try positions where you can control the depth of penetration, and avoid positions like doggy style where it can go really deep. Some suggestions are you on top where you can control, you on bottom but with your legs together under his legs (like knees touching), spooning. And always make sure there is plenty of lube, try buying some and using that to see if it help even if you think you have enough yourself.
If it always hurts, you need to see a doc. That means something is wrong.