You are using condoms and lubrications, right?
A lot of times people use condoms and will just forget about the lube ... B/c the condom says it has some on it, or they do'nt think they need it or they're just plain lazy. Whatever the reason, you really do need lube. Sex is better for both partners this way and reduces friction when penetration begins, therefore reducing pain
If you are using lots of lube as well as condoms, your problem may still be your hymen. It may take a few more times for your vagina to get used to having something in there ...
If yo'ure really worried about it, why not see a doctor?