Start with small tampons, too. Some are practically no bigger around than a pencil, and though they don't absorb a whole lot of fluid before they are full, they work well for lighter days of the period, and also for learning.
As matey says, if you can feel the tamp it is not in far enough.
the instuctions will be on the box they come in and a picture diagram but heres what to do. remove the wrapper obviously and[ best way to do it] is relax, stand either feet apart knees slightly bent, insert the tampon with thumb and forefinger inside your vagina and gently push up until comfortable. then push the bottom part plastic tube applicator inside the top part holding now the ridgy bit in the middle that divide the 2. thats it pull the plastic applicator out your tampon should be in place. if you feel it at all inside when you walk etc its not in correctly or up far enough. always check the string is hanging down and change 3 to 4 hourly. if easier use non applicator 1s, you just push up yourself with your finger. instead of feet apart b4 insertion another way is put 1 foot on the toilet seat or edge of bath and do it that way.