Agree with Rawhide completely.
Start small, start slow. I suggest trying small toys, like beads and small plugs, and working your way up to anal dildos or probes before actually having anal sex. It's one thing to have something in your ass, it's an entirely different thing to thrust with it! That was a big step for me.
go without saying, seeing as the rectum does not create it's own lubrication, but some people seem to think that vaginal lubrication or spit will suffice; it won't. Use lube. Use lots and lots of lube. Rule of thumb: when you think you've used enough, use more.
Experiment with angles and positions until you find what feels good to you. I find that the wall that separates the rectum and vagina is incredibly sensitive, so I enjoy a lot of pressure there. Figure out what you like first, so your partner will know how to please you.
If it hurts, you're doing something wrong - you should stop and slow down or try again some other time. Don't just grit your teeth and bear it. Sex is meant to be a pleasurable experience for both lovers, and when done right, anal is immensely pleasurable for all involved.
If you're worried about anal being "dirty", make sure you've had a full bowel movement earlier that day and/or give yourself an enema beforehand. You can find more information on enemas around the site, and EF sells enema kits.