what's wrong with me?!

My husband and I just got married in January (yay!) and two weeks after the wedding he left for boot camp. Everytime I have visited him, we've tried to start our family. We have been trying to conceive ever since the wedding. I've heard of sex being "messy" but it seems like after every time he finishes, it just slides right out of me. I've taking pregnancy tests after and I still haven't gotten positive results. What is going on??!