The best and the more sure way to to discover what an orgasm is and/or how to achieve one is through exploring your own body's sexual responsiveness... self stimulation... masturbation.
I agree with Jefelex , read up on what to do and talk to your partner about it. That way he can learn also.
Women vary greatly in how easily they reach orgasm. Plenty, probably most, need direct stimulation of the clitoris to reach orgasm - penetration alone just doesn't do it.
Try masturbating on your own, stimulating the clitoris. If just rubbing it yourself doesn't do the trick, acquire a vibrator and try that, that should do the trick. Once you have got the trick of doing it on your own, try masturbating while having sex with your boyfriend (some positions make this easier than others).
Have you reached an orgasm during masturbation/self-pleasuring? It could be one way how to help in this issue.
Have you been with one partner, or have you had some partners? How much foreplay are you getting (and giving) - sex is so much more than just intercourse, and a lot of women need much more stimulation of the clitoris and surrounding tissue before they become aroused enough to have orgasm. If you have only had one partner, keep him! but learn about each other much more, and read up on sexual technique and arousal - I'm sure you'll both be much better off once you learn how to make each other orgasm. With guys it's usually easy, but for women, it takes a lot more finesse and attention, and love as well (that has been my experience anyway FWIW) Good luck! learn together with your partner, it always takes 2