It's not uncommon for young men to be nervous and have difficult maintaining an erection during first (or early) attempts at intercourse. Nerves and stress can have a big effect on that.
First of all, make sure you're using all the necessary safer sex precautions (that means for oral sex, anal sex, and/or intercourse). Knowing that you've taken every step possible to prevent pregnancy and disease can do wonders for reducing your stress level. And secondly, just try to relax. Sex isn't necessarily all about intercourse, so if it doesn't happen right this second, that's ok. The more comfortable you are, and the less you stress about maintaining that erection, the easier it will be.
Check out these articles:
Ready or Not?
First Intercourse 101
Safe, Sound & Sexy – A Safer Sex How-To
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