Generally, the first time for anyone really sucks. My first time, it was more out of curiosity than lust. I was in a romantic relationship, and we had done a lot of other things, but not done it yet.
So, one day, I just decided that I had gotten curious enough that I wanted to do it. It does hurt, a lot, the first time. I just laid down on the bed with my pants off, and he kneeled between my legs, and entered me. Dear God, that hurt. I bled. I was terrified that I was pregnant (I was young and didn't know much). We didn't even finish, I hurt too much.
That being said, it does get much better. Try using lubricants until you're more comfortable. Things to help you get more comfortable - Make out lots. Have fun. Kiss. Hug. Learn each other's bodies. Learn what pleases each other - where to touch, what gets them going... Definitely, teach your man what pleases you. There is no greater joy than a man who aims to please.
Sex is one of the BEST THINGS in life. (Spoken like a true college slut, eh?) It really is. It can make time stop. You forget where you are (and whether the windows are open and the neighbours can hear you). It gets rid of stress, and makes you happy and relaxed. Try not to act too happy though, people can tell.
At least my friend Karen can. ;)