Maybe you are putting it in wrong..? Here is how I would say to put it in:
Well there are instructions in every box but they can be hard to understand sometimes. So here you go

(This is for a plastic applicator which are my favorite and I find to go in easiest.)
- First take it out of the wrapper..
-Then put your fingers (I prefer middle and thumb) on the skinnier part that sticks out. It will probably have ridges.
- Out your pointer finger on the top of the skinnier part.
-Get in a comfortable position and relax, some people like to put a foot up on the toilet some like to just spread their legs apart what ever works for you.
-Put the thicker side in your vagina. If you don't know where this is then use a mirror and it is the biggest hole.
- Aim up and towards your back, this is the only way it could go in.
-Push it in until your thumb and middle finger reach your body.
-Push in with your pointer finger (On the part it was on) until it stops.
-Pull out both parts of the applicator
-If it feel uncomfortable it is in wrong or might not be in far enough so take it out and try again with a new tampon. (To take it out all you do is relax and gently tug or pull on the string.)
I think your friend may be right.. Don't use a tampon with an absorbency that is too high for you because if it is not saturated (wet) enough then it will hurt to get out. Don't keep it in for longer than 8 hours because you can get Toxic Shock Syndrome (TSS) even though it is very rare. Good luck. <3