Is sex suppose to hurt that much the first time?? Does it get better?

Yes, sex can be very uncomfortable for women for the first time. You may even experience soreness and discomfort for the next 2 times or 3 times even. But, it does get better! It won't be that sore all the time. Make sure next time you are very lubricated and this will make it less sore as there will be no friction.