I actually enjoy anal every once in a while. If done correctly it can be quite pleasurable.
I would suggest a month or two of "stetching" before you go through with the actual act, though. Use toys, your's or his fingers. Whatever. But take it slow! Lube is very important here. A condom does indeed help with the mess, and helps to reduce chances of infection.
After some experimenting and stretching, when you finally work up to and are ready to have him enter you, make sure he is very well lubed, and that he takes it slow, slow, slow! Water-based lube is always best! Oil based lubes not only break down condoms, but make the internal environment more "homey" for infections.
Enter a little, rest. Enter a little, rest. I have found that it works best if the man is stationary, and you are the one to slowly press back/down against him. The man isn't able to tell when it is hurting you. With you in control of the insertion/thrusting this helps to eleviate some of the pain. There is a little pain initially. Especially the first few times. But once you get started and relax, it becomes pleasurable. That is another key factor. Relax! If you aren't relaxed enough it can hurt more.
Sometimes it helps to push down like you are having a bowel movement, too. The pain in anal sex comes from when the object inserted is trying to get past the sphincter muscles. When you push down, like in a bowel movement, it helps to open those muscles up, allowing the object to slip past them more easily.
Anyway, after he is fully inserted in you then rest again so that you have time to adjust to the full length him being inside you. Once you feel comfortable with him inside you, then he can slowly start moving in and out, a little at a time. It would even work best for you to do the moving while he is stationary. This way you can do what feels good to you and not have it hurt. I have found it best in a spoon position if he is "lengthy" enough. If not, doggy position works well. But, everyone is different. Just do what feels best for you. With you controling the thrusting it helps the pain factor.
Never try anal sex, and then let the man enter your vagina with whatever has been in the anal canal. There are bacteria in the anal canal that can cause vaginal infections.
Hope this helps, and enjoy! ;)