Hi Holly.
My guess would be it's your hymen, which tears (or "breaks") during your first time. That, as I'm told, varies from woman to woman as far as how much it hurts (if at all, in some instances). Usually, it doesn't fully "go away" the first time, hence explaining why your second time was less painful but not painless.
On the plus side, that'll likely fix itself in time.

Until it does, however, make sure there is adequate foreplay between the two of you, and do your best to try to relax.

Artificial lube can also help quite a bit (and from my brief strolls down that aisle, add one heck of a bit of variety to things

). But as Doc said, don't be afraid to communicate.

He needs to be considerate of the fact that you're new to this, and needs to be gentle.
Also, please don't feel bad, like you said. It's not at all your fault!

Just an unfortunate byproduct of anatomy, is all.
Hugs,
Harley