Hi Rydan,
I am not a doctor but it it is wrong to feel pain on intercourse, first time or not.
The fact that it is the first time means it wouldn't have been an STD (although some can be spread using fingers and tongues).
My first reaction is that you may have Vaginismus, which sounds awful but doesn't automaticaaly mean an infection. It means you could tense up at sex through fear or even just nerves. It being your first time there could be other issues like lack of lubrication or even a urine infection. You definately didn't leave a tampon in? The list is endless and anyone in their right mind would encourage you to see a doctor, they hear lots more embarressing stuff if that's what worries you. If they don't take you seriously, see another doctor.
The sooner you find out what it is the better, because if you are like me, you will worry constantly that it is something bad. Worrying is no fun, it's usually something simple so go and see a doc or a nurse.
If you are too embarresed to see the Doc, there are plenty of GUM(genito-urinary medicine) clinics around that are experts in this area and they are really great people to talk to.