Sumina7 is right.
Vaseline is an excellent lubricator, even though it might be a little hard to rub it off or clean it afterwards.
Apart from the lube, there are multiple factors that you need to consider:
When you are not relaxed, you automatically contract your muscles, making a tight hole even tighter (and even harder to penetrate). Let yourself go, enjoy the moment and have an extended foreplay to calm yourself.
2-) Practice Run
If you're learning to use firearms, you don't start with real bullets (because you might end up killing someone, right?).
Same logic. Before you try anal sex, you should replace a thick penis with a thin finger. If he can insert his finger and stimulate you for a while, you will both relax (since now you know what's going to happen and what you will feel) and loosen up (the anus actually enlarges a little when penetrated). He might try two fingers afterward, and then three fingers, and then anal sex.
Oh, and, he should go REALLY slow, because anal sex hurts the first time if he ir too fast or too rough.