Answer: Please see the article about Virginity in the Intercourse section, as the potential causes of pain during intercourse are described there. Insufficient lubrication is only one of the many possible causes. The general term for pain during intercourse is dyspareunia. The article about locating the vagina will help you determine the cause of the pain.
I am guessing your hymen is still intact, or your pelvic muscles are too tight, initially. Intercourse may be increasing the amount of irritation present, over time. You may want to get an appropriate sized object or dildo and insert it at bedtime, each night to stretch your hymen, and pelvic and vaginal muscles, while you masturbate, or just relax. Keep the dildo in place for 15-20 minutes. If your hymen is thick and resistant to stretching or tearing, you may need to have a doctor surgically remove it.
Also see the information about Kegels. Some women unknowingly keep their pelvic muscles contracted throughout the day, they concentrate or carry their daily stress there. They may become aware of this tension when they experience frequent urinary tract infections, or discomfort during vaginal intercourse. Overly tight pelvic muscle is equally as bad as weak ones.
It should be noted that when women tolerate pain during sex the problem almost always becomes worse, and becomes more difficult to treat. Pain is always an indication that something is wrong.