I used to be the same way as the original poster. I used to be absolutely terrified of tampons; whenever I tried to insert one it hurt, and I just gave up.
Well, my summer job was/is a swim instructor at a day camp, so I knew I would have to learn eventually. It finally happened that I got my period the same day I had to teach, so I was forced to use them.
When I first started using tampons, I used a mirror to help me find the right place to insert it. The reason it's hurting you is that you're more than likely inserting it wrong. When you put it in you're not supposed to feel it at all. Using a mirror helped because I could see the hole and see exactly where I needed to put the tampon. Things down there look a little weird (especially since it took me a while to realize I was using a magnifying mirror :eek: ) but it's also important to know your body well and know what everything looks like.
After some time you won't need the mirror anymore because you'll be comfortable with your body and you can just feel around and know where it goes. Also, it helps to use plastic applicators, because they are smoother and more comfortable than cardboard. I hope this helps! (and sorry I wrote so much, just thought I'd share my experience!)