From the way you say 'there are times when it hurts' I'm going to guess the pain isn't a weekly thing-that it's only sometimes. That being the case, it just happens sometimes. Could be that he doesn't have you aroused enough and you're too dry, could be that he's bigger at those times than at others, could be a lot of things. But no, just because you're no longer a virgin doesn't necessarily mean you'll never have discomfort again.

All women should have a complete gyn exam BEFORE becoming sexually active. This is a routine exam that assures you there are no physical impediments. If you have not, do so.

Pain upon entry often has to do with lubrication. There are many products on the market that help that. The next most common issue is that you have tensed the muscles of your lower abdomen. This can come from position, not being ready or, simply, his mocing too quickly.