First time wearing tampons

So, I tried wearing tampons before but couldn't get it in. I got the smallest size there was and I was able to get it in this time. This is my first time wearing tampons. When I put it in, it hurt a little and now that it's in, I feel a little weird. I feel like I have to pee. And I'm walking a little funny. Is this normal? While I get used to the tampon? How often should I change it and should I flush it?