I'm guessing you got the Aneros Helix Classic, which is probably their most common model:
http://www.aneros.com/helix-classic.html
I have this same one. I find it slightly more difficult to take than a conical plug because it starts out large-ish and then reduces in diameter.
The problem I find is really just me and how quickly I try to insert it. On a conical plug, you can start inserting it right away, and gradually work your way up to the thickest part. If it starts to hurt, all you have to do is slow down and give your body time to compensate.
The Aneros Helix doesn't give you that option. You start with the largest part, and there's no real way to ease into it. You have to be ready to take the max diameter right off the bat. If you're impatient like me, you probably won't be ready for the whole thing right away, force it, and thus feel pain.
This can be solved by either warming up with another toy, or just forcing yourself to take it slowly. I've found that, once it's in comfortably, it's a great toy; I just have to be relaxed and in the right frame of mind to take advantage of it.