Well, if you just lost your virginity, then he is probably hitting your hymen! It's a thin piece of tissue that is usually broken when you first have sex.
It's not that way for all women. Some women don't have hymen, some don't hurt at all. It's different for every woman.
A lot of women will say that there first time was painful and they bled afterwards. You just got to take it slow, go at your own pace and listen to your body. It will get more comfortable the more you do it and you'll be able to enjoy it more.
Good luck!