How to do anal sex

My husband and I tried anal last night, with 2 different positions. We couldn't get it to go in. I think it may have been the positions (missionary and from the side) I don't like doggy style so we can do that. We used a lot of lube, but we just couldn't get it in. It would go in a tiny bit then come out, like my body was pushing it out even though I wasn't moving, I was being calm, not contracting my muscles. For the brief time it was in, it burned really bad.

Any tips?