Sharp pain during sex is not caused by STD's. It's actually impossible to know if you've contracted something like HIV during the event. Only a blood test can tell you that.
The pain was likely due to the act of sex for the first time. It could have been caused by either breaking the bit of skin that covers the interior entrance to your vaginal cavity. Most girls lose that skin through physical activity, rather than sex, but if it's particularly thick, then it could have been in place still. Breaking it is often accompanied by a few drops of blood (though not always).
The pain could have also been caused by a lack of lubrication. Your vaginal cavity will naturally lubricate after a certain amount of foreplay (pre-sex play) and it differs with each person. Some women have very little lubrication. If it doesn't improve after a few months of being sexually active, talk to your gynacologist and supplement with a water based lubricant - such as KY Jelly.
What should be the biggest concern is why you believe your fiance is carrying HIV? If there is a reason to suspect, make sure he gets tested and ALWAYS USE A CONDOM. Married couples who don't use condoms should really get tested for all STD's prior to beginning unprotected sex. You do need to have deep trust in your partner to continue unprotected sex without regular checks. If that's lacking, condoms are a must (and couples counselling might be a good idea as well).
If your fiance is a confirmed carrier of HIV, unprotected sex will eventually kill you and potentially pass a lethal disease to your children. Speak to your doctor if this is the case (together as a couple) and make sure you are making the best choices for both your health.