I'm in my 30's and I still get anxious about this. They are uncomfortable, but as others have said, I highly recommend going online and reading an explanation of the procedure beforehand, so you know what to expect (at least from a technical standpoint). And definitely tell your doctor about your anxiety and ask him/her to explain everything he/she is doing during the process.
One thing you really have try to do is relax your lower body and legs. This can be difficult to do when you're nervous or anxious, but it makes things go faster and more comfortable.
Another observation I've had involves the metal speculum. It can be a little cold, LOL. I've had some doctors who run it under warm water briefly...I prefer that.
My OB/GYN told me it's also OK to take 1 or 2 Ibuprofen/Advil beforehand if you want. You probably don't have to do this, but sometimes it just makes you feel better about it (like a placebo effect).
I think my first time I held the nurse's hand. LOL.
They're professionals and shouldn't mind handling your questions and concerns.
Hope that helps. It's a quick procedure; it will be fine