The wise and wonderful Cory Silverberg from About.com Sexuality on First Time Sex:
"Many women, for example, may have had a lot of sex, but still be waiting for their first orgasm. For people whose first experiences with sex were not by choice, the idea of “first sex” can be very different and may evoke more anxiety or fear than excitement. But there aren’t any rules to this, we each come to every first time sexual experience with our own history as well as our own unique feelings and expectations."
Tips and techniques for First Time Orgasm, First Time Intercourse and First Time Anal Sex are here.