When I first started using Tampons for my period the Tampons hurt when I first inserted the Tampon and my doctor said that it's normal for the Tampon to hurt the first time you insert it.
But if it continues to hurt after inserting the Tampon then you probably didn't insert the Tampon in correctly and need to reinsert it or insert a new Tampon.
The Tampon is normal to hurt going in but it should not hurt after you've inserted the Tampon.