My First Anal Experience is a good dinky little butt plug - it fits on your finger like a ring: http://www.lovehoney.co.uk/product.cfm?p=6971
The Tracey Cox Beginners Anal Kit is perfect - http://www.lovehoney.co.uk/product.cfm?p=9758 - a lovely small pink silicone butt plug, a bottle of anal lube and a guide written by Tracey Cox.
Let us know how you get on!