First time attempting to have anal with a girl was kind of funny.
We were young and in love, having sex like crazy. Sometimes having vaginal sex, I'd miss, and she'd tell me I was trying to go in the wrong hole. We were in college -- so many times (most times) we'd have sex in one of our cars. I had some impressive stamina back in those days. We were in a mini van, in the back having sex missionary. We'd been at it for quite some time. I then suggested we do it doggy style. She looked at me for a second, then said, "I think that sounds like fun" -- so she turned around and I started to enter her. There was a great deal of resistance, but I kept trying to penetrate her (she never said I was doing anything wrong). After a minute, I finally said, "I'm having a hard time getting it in, it's almost like I'm going into your ass." She then said, "you are, I thought that's what doggy style was."
I then lowered my aim, and entered her vaginally. We continued on for a bit, then finally finished.
After I was done, I had to ask -- "so you thought doggy style was anal, and when I suggested it, you were okay with it?"
She admitted her misunderstanding, and laughed. I then asked what she thought of it. She impishly looked at me, and said "oh my god, I think you've turned me into an animal."
We tried a couple more times without lube (we were young and dumb). A couple weeks later we got some Astroglide, and consummated our anal relationship.