First time sex and what to do...?

At first it's a little uncomfortable. The important thing here is to relax, because if you're all stressed out and worried when you're doing it, odds are it will hurt and get uncomfortable. Also, your body will naturally lubricate so that will make it easier for it to enter. If you want, you can try an artificial lube so that it enters a bit more easily. It can hurt, but it's only at first, then it turns into pleasure. Trust me that once it's inside, the feeling will be a very good one.