Why does hurt, and is there a method to stopping it?

I lost my virginity about a year ago, and I have only had with one guy. We have on a regular basis, we take things slow, but when it goes to deep, it hurts. It doesn't feel un lubricated, but feels more like when you poke a bruise. He's very sensitive to the fact that it hurts, but I want us both to be able to enjoy the expirience. Is something wrong with me, or is this usual?