Uncomfortable sex and Soreness after sex?!

Okay...Me and my boyfriend had 'proper' sex for the first time two days back. Before that it was kind of too difficult for me to let him get inside as it use to hurt me so much. So two days back we decided to give another try and the same day we were able to do it with little pain thanks to KY. The problem is that when he got inside me completely for the first time (I was a recent virgin), I felt strong urge to pee and I felt too uncomfortable. I have heard that once a guy is inside women feel a little pain and then its all fun but nothing like that happened with me. I just felt very uncomfortable and slight pain when he would move, is that normal? Afterwards I did get sore down there. Its now the third day since we had it and I am feeling a little bit better, I want to know will it hurt again the next time?I know its suppose to get better by time but I just need some assurance as the soreness and pain isnt really something to look forward to!