Hi Rahul,
As Exavion said, absolutely use plenty of lubrication and go very slowly. This is absolutely NOT the place to be having rough sex. It could cause serious harm including infection to the canal which is very difficult to heal.
I'm not saying not to do it, just saying be gentle and use lots of lubricant. Also use protection, and do your best to ensure cleanliness on both of you, particularly her.
Also check out these videos on Anal Sex before you try it:
For The Last Time... Is Anal Sex REALLY Dangerous?
Anal Sex: Special Treat or Dangerous Game?
Anal Sex - How to Make Her REALLY Want It
As for what type of lubricant, make sure it's something latex safe, i.e. water soluble. Because you definitely want to be using protection (read: a condom), or else you will also be at risk of infection. What the body expels can be pretty toxic.
I know this can all sound a bit clinical and might put you off, but as soon as you get the basics down you'll be able to enjoy it relatively safely.