Interesting question... I think that guys finger women in general, not just virgins! And a lot of women like it, not just virgins or women who aren't virgins. It's just another form of sexual play that people enjoy together.
And it could hurt for a couple of reasons.... you might not be well enough lubricated, either because you are not completely aroused when he starts or because you just generally have a lower level of lubrication. Get some good water based lubricant and use that next time and see if it helps. Either get him to use it, or put it on yourself before he starts. Guys think that's hot anyway. It should stop your vaginal walls from getting irritated.
Also, he could be tearing, scratching your vaginal walls, if you think this is the case, ask him to trim his nails and be more gentle!!
Also, it's possible that your hymen is not yet broken and he is tearing/stretching it, which is normal. Most women break their hymen long before they ever have sex, but for some, when they are first penetrated by either fingers or a penis, their hymen breaks and it may be painful. If it is too painful, there are other things you can do that involve a doctor.
I think it's great that you want to get more info before you start having sex. Once you are sexually active, you should make an appointment to go see a gynocologist.