Hallow Dear,
During first intercourse, the bleeding takes place due to rupture of
hymen.
Hymen is a naturally existing membrane in the mouth of the vagina. You need not worry about it.
During insertion of the penis, if you are involuntarily contracting the muscles of your vagina in aapehension, you will feel more pain. The very fact you are feeling pain initially and then the pain goes, proves that you are resisting the penile insertion by contracting the vaginal muscles. Try to relax. Demand the penile insertion only after you are completely wet. It is a good practice to initially insert finger in the vagina to have some dilatation before inserting the penis. However, the woman's private parts should not be touched dry lest discomfort. Moreover, you may ask him to apply some lubricant to your vaginal opening and to his penis also. This will make the penile entry very smooth and painless. Then you will not feel any burning or pain.
The lubricant should not be oil based lubricant like Vaseline, hair oil, soap, etc. as they are harmful to the woman's genital organs. Use only water based lubricants. Vaginal jellies are very good lubricants.
I am sure this will solve your discomfort and you will bless me for the advice.
If so, please vote me 'Helpful'.
Dr. Nishikant Shrotri