There is no such thing as normal - why do you believe painful sex could be normal?
When it comes to sex far too women consider it 'normal' to experience pain the first few times – truth is whether it is the first time or the millionth it should not hurt but instead be pleasurable. Pain is your body's way of telling you that something is wrong and there is no reason to keep putting yourself through pain. The idea of sex being painful the first few times is pure myth and if you are willing to endure pain during sex then perhaps it is not the best idea that you are sexually active.
There are a few things that commonly cause pain during penetrative sex, the most obvious being lack of arousal – during sex your vagina doubles in size, the muscles relax and the walls of the vagina produce lubrication. If there is not enough sex prior to penetration it means the above mentioned things do not occur and as such penetration can be painful. Women and men are made differently, only 30% of women orgasm from penetrative sex, so ideally you should have sex [foreplay] before penetration, ideally to the point of orgasm, prior to penetrative sex to insure you are fully aroused.
If it has been going on for so long then there is something wrong, a lot of women experience something known as Vaginismus
, where vaginal muscles do not relax, as well as other sexual problems. For most women this is a mental problem, often the result of hang-ups about sex or issues from their past where sexual abuse may have been experienced. There are also physical reasons for painful sex, not just STD's but also spasms within the vagina that make penetration difficult.
Whatever the cause you need to stop putting yourself through this pain and find out the cause of your pain during sex, it may just be a case of mental associations between sex and a negative experience, but it may be something more serious physical such as perhaps as someone has mentioned endometriosis
Also a very important point is that just because you are each others first partners does not mean that you are both free from STD's by any stretch of the imagination - be responsible, always use protection! I would suggest you get yourself checked for STD's because STD's can lead to pelvic inflammatory disease
that can cause painful penetration.