That's not true- it doesn't have to hurt. Sex should never hurt, not the first time, not ever.
It does hurt many girls, however, because they think it should, so they tense up, or they are scared, so they aren't well lubricated, or for a VERY SMALL percentage of girls, they have an intact hymen that will break.
If you make sure she is relaxed and comfortable, well lubricated (it would be nice to buy some ahead of time and use it) and do lots of foreplay before you start. If you do all these things, it shouldn't hurt.