Many women have had the experience of discomfort or pain with sexual intercourse. This can be felt as external or deep or both. The causes and solutions depend on the exact details.
This type of discomfort usually feels like a burning sensation or a sensation of dryness, with too much friction.
This most commonly occurs as a result of inadequate lubrication. The solution is more foreplay to increase arousal and natural lubrication and/or assisting nature by adding some lubrication.
External dyspareunia can also be a sign of infection, most commonly a yeast infection. Persistence of this problem requires an evaluation by a gynecologist. When you go to the doctor, make sure you tell him or her exactly what's wrong. If you just go in for a regular check-up, you may not have the problem solved.
If this problem persists, consultation with a gynecologist is necessary. It can be a sign of infection, including an STD, a bladder infection or other abnormal conditions like endometriosis.
Some women put up with painful sexual relations for various reasons. This is not a good idea. At the very least, it prevents the woman from enjoying sex and will lead to decreased arousal and less chance at orgasm. At worst, she may be ignoring a problem for which treatment is available.
If you have this problem, let your partner know. Seek professional assistance if necessary.