Couldn't get wet ??

I was with this guy and it is my first time having sex. The problem was that I was just not getting wet. We did everything but nothing worked. However, he wasn't the greatest kisser. I even tried fingering myself because I know what I like best. We kept trying to stick his penis in but it just would not and it was painful when he fingered me. I'm glad he was listening to my reactions and stopped when I asked. I felt really ashamed and kept apologizing. We even tried again a couple hours later. My guess is that I was nervous cause it was my first time and I wasn't able to relax. Anyways we are going to try lube next time, but does anyone have any suggestions of what the problem is and how to help? Thanks