How many times I have read Sex Tips concerning Anal Sex and comments from girls/women saying that their boyfriends are pleading for them to let them up there, but the girls are saying "It Hurts", I do not know. Many times, that's for sure.
These women do not know what they are missing out on in terms of pleasure (more pleasure, either solo or with their guys !).
It is obvious it will hurt, as there is no lubrication of the anus, so the anus has to be very well lubricated (there are special lubes for this). The girl should start this experience slowly, by lubricating very well her anus, and starting gently with one finger, opening up slowly over a period of time, then proceed to two fingers, then again with time, trying a small vibrator until eventually, she will be able to use a cock-sized vibrator. If she is doing this, even with one finger, and finger-f**king her pussy at the same time, she will at least double the pleasure that she would experience than by just rubbing her clitoris and fingering her pussy. I introduced this slow method to my girlfriend, and she now LOVES it, and she can not do without it any more. So, Take it nice and slow, lubricate abondantly, do what I say, and you will get wetter than before, and have much more pleasure, I can assure you of that, I can even promise you that. TRY IT !