Start with other anal play to get used to the feelings, then gently insert a well-lubed silicone plug that's known to be within your capacity. Make sure you're warmed up and sexually excited first.

Yes, anal play can give pleasure and really only hurts if done wrong or you're trying something too much for your body right then. For beginners it can also feel "funny" because the sensations aren't always interpreted as sexual at first, so be willing to stick with it if it just feels funny at first.