Hi, I Just Started Using Tampons Yesterday, Putting Them In

Hi, I just started using tampons yesterday, putting them in doesn't hurt, but I can still some what feel it when it is in (it's not painful I just feel it) also, removing the tampon is very very painful. And I have pain even after removing the tampon, it feels like the inside of my vagina is like dry. What is causing this? I don't know much about tampons since as I said above, I just started using them yesterday! One more question, I had a tampon in for maybe 5 minutes and decided to switch to a pad just because and when I pulled out the tampon the cotton was stringy at the top and it's possible a few little strings of cotton came out in my vagina what do I do?