OK, simple version coming up :
There can be different reasons why fingering might be hurting you:
It can hurt if you're not using extra lubricant.
It can hurt if he's being too rough.
It can hurt if you still have part of your hymen left.
Most importantly, it can hurt if you don't really want it, or if you are not aroused.
If you are not sure what being aroused feels like, read:
Sexual Response and Orgasm – A User’s Guide
Sexual activity should be about what actually feels good, not what someone else thinks is "supposed" to feel good.
Different people enjoy really different things.
So if something really hurts, or if it just doesn't feel good, then stop. Tell your boyfriend to stop.
Then try other things and see what does feel good for you.
Hope that helps .