Well, let's start with some re-education. A lot of people think your first time is supposed to hurt, or has to hurt. The truth is, it does not have to, and it is not supposed to. If it hurts, something is not quite right. Now don't misunderstand me. Pain is common for the first time, but that does not in any way mean it is unavoidable or supposed to be there.
The number one cause of pain during sex, first time or otherwise, is lack of lubrication. Many things can cause a woman to not be lubricated enough. One reason is being nervous, which many first timers are.
The second most common reason for pain during sex is being tense. Being nervous, afraid, or even excited, can make your vagina clench like any other muscle would when you're nervous.
The third and least common reason for pain during sex is various gynecological problems such as infection.
For more information, check out coolnurse:
"Sex shouldn't hurt, whether it’s your first time or your hundredth time.....If sex hurts, it's usually because a woman hasn't been sexually aroused through foreplay. That means her vagina isn't lubricated enough before a man penetrates her."
http://www.coolnurse.com/sex_faqs2.htm
Buy some lubrication, take your time, stay relaxed, and don't rush. If you continue to notice pain, tell your ob-gyn about it.
Just thinking that sex is going to hurt plays a huge factor in how much it will hurt. Check this site out:
"Normally, the vaginal sphincter keeps the vagina closed until the need to expand and relax. This relaxation allows for sexual intercourse, medical examination, insertion of tampons and childbirth. Vaginismus occurs when the vagina is unable to relax and permit the penetration of the penis during intercourse however, when vaginismus does occur, the sphincter goes into spasm resulting in the tightening of the vagina....
Vaginismus is not due to a physical abnormality of the genitals. Some women wonder if their vagina is too small to fit a penis into, or perhaps they have no vaginal opening at all. This is understandable especially when the vaginal muscles are in spasm as they can give the appearance that the opening is nonexistent. These concerns, however, are incorrect as the genital area is completely normal....
Concepts such as penetration, intercourse and even sex can cause fear or trepidation in the mind of may a young inexperienced woman who may hear stories about painful first intercourse, which then reinforce the fear of penetration. This fear can compound and create a pattern of sexual anxiety, causing the vagina to remain dry and un-relaxed before intercourse...."
http://www.coolnurse.com/vaginismus.htm