During the first intercourse some women feel a lot more pain and discomfort than others. That depends on their size and shape and the size of their partner's penis. For the most part it's always a little discomforting and awkward feeling. But depending on things like if the woman uses tampons she might be more stretched out than someone who doesn't- which might (and I mean MIGHT) make sex a little less awkward and unpleasant. No guarantees.
For the next several after sex might be again, a little awkward and discomforting at first (usually just penetration), but it should get better. (It's when it keeps being extremely painful time after time that there could be a problem and the woman should see a GYN.) Think of it as the vagina needs to stretch. Not a pleasant thought and it feels kind of gross and kind of painful, but once its the right size sex is fine.
Besides that pain can be caused from getting "punched" in the ovary. That is excruciatingly painful. Seriously one second sex feels good and the next it's crying in the fetal position time. This usually happens when the woman is kind of small (short) and the male is large. Some positions like having the woman on top or from behind make penetration deeper and therefore at danger for getting hit in the ovary- so be careful and mindful of your partner and make sure you are communicating with what feels good.
Other times when it feels painful for a woman is when there is not enough lubricant (road rash inside the vagina), a bacterial or yeast infection (including STD's), an abnormality in the sensitivity of the cervix or the way it's formed (usually less common), and also cervical cancer. (Keep in mind cervical cancer isn't the first thing that can cause pain, but it does also cause some pain.) There are many other things too that can cause pain like this, which is why I said after the first few times, if it isn't feeling good something could be wrong and a dr/gyn is a person to see.
Yes, it will hurt! Are you a boy or girl?