Tampon question?

i am on my period and i have never wore a tampon before. i have always wore a pad but i am starting the cheer team tomorrow and i want to be abel to wear a tampon by then so today i went to put a tampon in and i put it in where i though it went and pushed it up and it hurt a little bit so i took it out because i didn't know if i had it in right. so i just barely tried again and i think i did it right again but i can still feel that it is there and everyone says you shouldn't feel it and it still hurts a little and is kind of uncomfortable so everyone said that you have to push it in farther so i did and the same thing is happening. what am i doing wrong? is this how its supposed to be???