Sex doesn't hurt for women - unless they are tense, not fully aroused, sex is rough, or there is a medical issue involved such as an STD or vaginismus - if sex hurts there's something wrong.
There's a myth that sex hurts the first time, but there is absolutely no difference between the body of a virgin and that of a non-virgin to say that sex should hurt specifically during the first time they have sex. If women experience pain the first time it's for the same reasons they would any other time.
The hymen is one possible exception - the hymen is tissue surrounding the vaginal opening, it's normally worn away or stretched by the time a woman has sex, but even if in tact when a woman has sex it's normally flexible enough to allow penetration without tearing or if it tears it doesn't always hurt - the hymen will only cause of pain if it's is particularly stubborn.
When aroused the vagina relaxes, lubricates, opens, increases in size and tents in order to allow for penetration without pain or damage - the vagina is designed to have sex without pain and for sex to be pleasurable. The most common cause of pain during sex is either tensing up or lack of arousal - in both cases the vagina doesn't go through changes it needs to in order to allow for penetration, so penetration is forced and thus can cause damage to vaginal tissues, thus pain and bleeding.
