So, one really helpful thing to know is that you're far from the first person to experience this. In fact, if you look around the message boards, you'll see other people who have similar fears to what you do.
With masturbation there's single, specific, "right" way to do it; instead, it's about finding the ways of doing it that feel good to your body. And that can take some experimentation to find. If you're looking for ideas, this article talks about some of the common ways people masturbate: Going Solo: The Basics of Masturbation
Depending on how you tried masturbating this first time, you may have been touching parts of your body that aren't as sensitive as others. When you say you didn't feel anything, do you literally mean you didn't feel any sensation, be that good, bad, or boring? Or do you more mean it didn't feel pleasurable? Too, our brains are our biggest sexual organ; were you mentally turned on when you tried masturbating?