Gently pull on the string, if there is resistance don't change. When it's time to change the tampon will come out more easily. Just hold the string to the side when urinating so it doesn't get wet if it's not time to change the tampon. :)
dont change them continuosly, you can leave them in for up to 5 hours tops.
I had the same issue when I first started using them, just make sure you dont just 'pull' them out, go slow and slide them out.
Also, if you are having trouble putting them in, try using lubricant.
It sounds weird but it works wonders, espesially as all the blood can make it a but hard to put one in.
You might be changing them too often. Do you use the super ones? Maybe you should switch to regular or slim. Also, make sure you are very gentle and go slowly. Don't be in too much of a hurry or it will hurt more.