Dear Romeo, It is possible, and common, for a woman to be a virgin and not have pain or blood during her first intercourse. There are many reasons for this. Perhaps her hymen has already been stretched in other ways, including a regular gynecological exam, through horseback riding, or even by inserting a tampon. The hymen is a thin membrane surrounding the vaginal opening, partially blocking it, but almost never covering the opening completely. If it did, a woman couldn't menstruate.
Hymens come in various sizes and shapes, and, for most women, the hymen stretches easily.
For more information on how hymens can be stretched, see the archived answer to Alice's question Hymen stretching in Alice's Sexuality archive. Alice wonders why it is so important for your girlfriend to be a virgin before you entered into her life. Ironically, as time went on, virginity began to reflect the prevailing societal view of women as man's property. In that way, whether or not your girlfriend had sex before wouldn't matter because she was a virgin in terms of having deep, passionate, intimate sex with you. Again, what is most important is respect and trust in your current relationship.