What you need to do is start slow and small, to increase slow to large. You need LOTS of lubrication, go to a drugstore and get some KY jelly and use lots of it, lather it on. Get him to start by fingering you with one finger, then 2 and so on. If you have any dildos or toys use those after fingers for length. You get my drift? You are just easing into everything slowly, and only do as you are comfortable - if you get uncomfortable tell him to stop until you get turned on again, so he should not go out of you but just play with your clit or something to get you turned on again and then resume anal play again. It takes time and work on his part, after you are used to it it's not so much work anymore and will be more enjoyable, just remember not everyone enjoys anal sex and that is OK and normal.
Everything Liz said plus relax. He's making love to you, not trying to impale you. If you can relax the muscles it will go in much easier. Make him act like he's making love too.