MOST of the time, pain during nursing is due to one of two things:
poor latch
infection
To adjust a poor latch, you might want to contact an LLL (La Leche League) member, since they are usually well versed in the most common "poor latch" issues and how to fix them.
In case of infection, it will depend on which kind it is. Mastitis or plugged ducts are often best treated by extra nursing, even though it hurts. Yeast/thrush should be treated with gentian violet or a prescription anti-yeast, depending on whether you prefer homeopathic treatment or standard medical.
And, what someone said above is true - your first is likely to be a little painful at first simply because your breasts are not yet used to feeding a baby