The most thing I noticed my first time when I got it done (and I was a virgin) was a mild pressure. It may have felt like a mild pinching at first entering me but it wasn't actually a pain really. I think I built it up in my head so much that I was more nervous and jumpy over every sensation.

It may help if you tell your doctor that you are a virgin and never even used a tampon or anything else and are nervous. Mine also did a breast exam and showed me how to do that so that might occur too.

There is also an option of finding a Planned Parenthood place and going there for this where it will be cheap if you have no insurance and where they are used to people who are nervous and it being their first time.

Good luck.