Why don't you try and enjoy yourselves a bit before? try touching each other alot, you know, foreplay etc. You could also try it in a bath or something? First time, I think he held it and pushed it in slightly, yet not all the way, and very slowly. You might wanna try this,and slowly push it in and eventually pushing it further in. I personally enjoyed my first time.. . although it may have been easier because we didn't think 'lets have sex', we just did.
And like others have said, make sure you are 'wet', foreplay can help, if you don't mind it you could let him finger you. I'm sure there's loads of things to try, I'm not an expert myself, but don't get frustrated, and make sure it's not all about getting an orgasm, just enjoy it, and try different things