Is it normal for sex to hurt?

I had sex with my boyfriend for the first Time (don't worry I've had other sex partners but I only had sex with them once) we made sure we did lots of oral, but it started to hurt when he put it in (missionary) I couldn't do it. He got so worried. I said why don't we try girl on top. It was a mission but we did it, we were having sex for 45 minutes (I know, it's hard to believe but he seriously lasted for a very long) it was burning and hurting the whole time (though I made sure he didn't realise) is this normal.. It just hurt so much no pleasure out of it.
UPDATE***
Masturbating has nearly always hurts me so I never understood why people love it so much.