If you do not use a condom, the risk of getting an STD and/or her pregnant is greatly increased, so please; do use one! Also, you should ask if she'd be okay with taking the pill too. That way the odds of getting her pregnant are practically non-existent.
Also, for the first time, sex does hurt for a girl, but I don't think it should be anything too bad. Don't worry, it's supposed to be a really intimate and enjoyable experience, and you'll get better at it the more you do it.
