It varies from women to women because it's all going to depend on the hymen (the skin that covers the vaginal opening). Some women are born with a really thick one, some are born with a thin or no hymen at all. Some women have broken their hymen before they have sex through sports or masturbation, while others have not. If you have a thin hymen or have already broken it, then generally it won't hurt. If he needs to rip your hymen and it's thick, then it will cause some pain.
In both cases though, make sure you're properly aroused so that your body has produced enough lubrication for sex. Regardless of your hymen (or even if this is your first time or not), sex will be painful if you're not properly lubricated through arousal, and this often contributes to why women find sex painful their first time.
