Hi there, the best advice I can give is to take things slowly and stop immediately if anything hurts or is uncomfortable.
For anal sex, it may take several sessions before you feel comfortable - just take as long as you need and build up very slowly. Perhaps playing with your fingers for a couple of sessions and enjoy those sensations before you try again - you can try to build up to 2 fingers then 3 fingers etc.
Make sure you use lots of lube - this is essential – I use either Sliquid Sassy or Lovehoney Anal Lube, as they do not contain any chemical nasties.
We also use the Pjur Anal Lubricant. The great thing about this lube is that you really don’t lose any sensation at all - and there are no long-term effects. Nothing gets looser, so to speak - it just helps things to relax and I don’t feel so much of the burning sensations. It doesn’t take the sensations away, just makes things much easier.
Here are some links which I hope are useful to you 