It's just your hymen getting in the way, most likely. Your hymen is skin that encircles that vaginal opening and stretches/breaks when first having intercourse. I have been having intercourse since july, and the first several times caused some discomfort and itching. Sometimes, even now, if my boyfriend and I don't do it for a week and a half or more (maybe because of period...Busy schedule, etc.), it will still be irritated.
If it is causing discomfort, don't have intercourse for 3-6 days. Check it with a mirror. I'm not sure if petroleum jelly is safe to use, but ask someone you know what is best to use...Or maybe someone here has good advice. Just let it heal! If after several days it is itching and causing issues...Call your doctor or a clinic and ask to see someone.
Good luck!