If it's your very first time of putting a Tampon into your Vagina it can hurt a bit the first time when inserting the Tampon.
But the pain should not be too bad and should go away soon after you insert the Tampon and if it's still hurting your Vagina then you probably did something wrong when inserting it as it shouldn't hurt too much and should stop hurting soon after.
If the Tampon continues to feel uncomfortable then it's best to take it out and try putting a new one in again or leave it out if you're still hurting.
Having a Tampon Hurt the first time when inserting it can be normal but it's not normal if the Tampon continues to hurt.