I agree with Xero. This is a conversation you and he need to have. Not every sexual activity is for everybody, and that's OK. If he cares about you, he'll respect your feelings. No one should engage in something they're really uncomfortable with.
It sounds like you wouldn't like it no matter if it stopped physically hurting, so I'm not going to make any recommendations there. If you don't like it, there's no reason you should feel pressured. We all have to respect each others' feelings in any relationship.
Is it possible that you and he rushed it before you were ready? Many people start very gently, by inserting a lubricated finger, then two, before trying actual anal intercourse. If you decide to give it another try, then that would be the way to start. If you're still just not comfortable with it, then don't do it.