Remember, the first time is rarely fantastic. There are lots of possible reasons. Buy a water-based lubricant at your drugstore and put some on and around your vaginal opening and vulva before having intercourse. Another possibility is your vagina might be irritated by a spermicide you're using. Try a different brand.
Some people are allergic to the latex in a condom or diaphragm.
Sometimes we can be nervous or scared about sex. That makes it hard for us to enjoy being touched. If you're uncomfortable, don't rush, and don't let yourself be rushed. Until the problem is solved, have sex in other ways besides intercourse. Be careful when you wear two condoms-put a little bit of lube between them so they don't break, but not so much lube that the top condom slides off.