Although many men may be skeptical, prostate stimulation is one of the most amazing avenues that a man can sexually explore. I never had any of the hang-ups that many others do, so I don't have any advice on that. But I can certainly echo what ScottA just shared. When beginning in any anal play/prostate play with your guy, make SURE that he is comfortable and RELAXED before ANY penetration begins. For a beginner, this is ESSENTIAL. If his backside is fighting you, or trying to squeeze your finger out, he's NOT ready. If you persist in this manner, it could certainly end up as an unenjoyable, uncomfortable, and possibly even painful experience, that may scare him off for good! Instead, start with some light rubbing and touching on his anus (NO penetration yet) AFTER you have him worked up, or while giving him head. This may be all he'll let you do for the first few times. It may feel foreign and odd to him at first, but that's okay. You just need to be patient. Once he's comfortable with that (might be 10 minutes, might be 10 weeks... depends on the guy) you can slowly start working your finger in by applying slow, steady, even pressure (make sure you have SHORT nails when doing this!). The first time you penetrate him, he will likely tense up again, and may try to squeeze your finger out. Just stop where it is and hold still until the feeling passes for him and he is able to relax again. The you can move a little more.
Essentially, the process will boil down to PATIENCE and persistence. If you rush it, he may end up waddling away miserable, swearing he'll never do it again. If you go slow and work with him, both of you will likely enjoy the journey to finding how powerful his sexuality has the potential to be.
One final point... LUBE LUBE LUBE. You can't ever have too much lube when engaging in anal play... especially for a beginner. Apply, and reapply, and then you might almost have enough for him.
There are quite a few threads about this in the forum, so also feel free to search and read up. Advice from people like ScottA is invaluable, as you'll see from his posts, reviews, etc... that he is well versed and experienced in this area as well.
Good luck, and keep us posted!