HELP!

I'm 17 and I've never been able to orgasm, I've wanted to but have never been able to. I always thought the first time I had sex that it would help but I still haven't been able to completely get there! Is there something wrong with me? What things can I try to get that first orgasm?

Side note: my boyfriend knows about this and feels awful when he can finish but I can't.

I don't know what to do! Help!