You're probably not warmed up/turned on enough before starting intercourse. When you're turned on enough and warmed up (and lubricated) sex should not hurt at all. It is a terrible myth that sex should be painful for the woman - the first time or anytime, it should not be painful.

I hate to be the bearer of bad news, but the solution is..... more foreplay! Haha. Just kidding. That's great news, isn't it!?!

Have oral sex (receiving it), and fingering for awhile to help warm you up. Lots and lots of foreplay. Also, buy a tube of lubricant. Many women don't naturally produce enough lubricant.

see your gyn asap if you can. it could be leasions or cysts i have the same prob and have both so no matter how much lube i use it is still painfull but with meds it does get a little bit better.

Like Anne said, use a lubricant and see if it helps. It does help the vast majority of women.

If it does not help, definitely talk to your ob-gyn about it. Like candita said, pain that stays even when lubricants are used can be a sign of a problem.