It's pretty much impossible to make it all that much "fun" in the sense of completely pleasurable for the female the first few times. But you can make her enjoy the experience despite the physical pain. First, make sure you really do love each other. Females are biologically build to attach to their sex partners, so its going to be very emotional for her. Second, take it slow and listen. Don't push ahead if she says she's not ready. If she asks you to stop, stop. Even if you're really into it. Third, foreplay. Make sure she is very aroused. Bring her to orgasm with your tongue or fingers first, if that is possible. Kiss and caress her all over rather than heading straight for her sex parts.
Use lube. Thrust gently, although you're going to have an instinct to go hard and fast. Lay down an old blanket or towel over the sheets in case she bleeds so that she won't be embarassed. The most important thing to do is listen to what she is saying and pay attention to her reactions.
Be open to conversation afterwards. Hold her if she wants. She might cry, some girls do because it is stressful and emotional. And she might be just fine and act like she would on any other night ... its really hard to tell. Again, paying attention is the key.
Oh, and use protection. Know how to use a condom.
