I Need HELP

Alright so I have an extreamly hard time climaxing during sex with my parnter. I have never been able to finish from penetration and trust me when I say we have tried A LOT of positions. My boyfriend gets extreamly self concious and upset at himself when he cannot make me finish even after rubbing me for 40 minutes. I always tell him not to worry and that we just need to practice and try more new things but I can tell it is really bothering him. I do not know what to do. I have always taken longer to finish on my own and do not know how to reach climax faster. I can just tell he is not into making me finish anymore because it takes so long. Any advice??