Lots of good advice here already - I just wanted to add this link from Discover Magazine. It shows how the students in a US high school are interconnected by dating and breakups over a period of 18 months. The value of this article and the attached graphic is to demonstrate how easy it is for a sexually transmitted disease to pass through a population of teenagers. Condoms, when properly used, are a good choice for preventing the spread of a number of such diseases. It is far better to use a condom than to trust such a matter to chance, since there are several STD's that can cause life-threatening illnesses.
All of the above posters have given you good information. As they said, intercourse is often painful the first time for a woman if her hymen has not been previously broken (through sports or other rigorous activities). However, it can also be painful if the woman's vaginal opening is small and her partner is large. Some OB GYN's offer stretching exercises to help open a woman for her first experience if she is afraid of tearing.
As to the second part of your question, condoms should be worn during sex to prevent the spread of STD's (like Herpes or HIV). It is also a good form of birth control.
It is not necessary to use a condom during sex, but it is often a good idea.
Yes, they are used to prevent pregnancy, but there are other ways to do that. "The Pill," for example, is generally more reliable than condoms. They are good for preventing you from contracting an STD. But a better way to do that is to only have sex with one partner who is also faithful to you. Then you don't have to worry.
A woman's first sexual encounter does not have to be painful, but if it is not gentle it can be. The pain and blood often results from the tearing of the hymen, which is intact until sex. Condoms are used to prevent pregnancy and the spreading of diseases.
During the first sexual encounter, a woman's hymen is torn. The hymen is a membrane that covers the vaginal opening. If the hymen is torn quickly, it can result in pain. In addition, intercourse expands vaginal muscles. The expansion can be painful because the muscles have not developed any elasticity. Condoms protect you from pregnancy and sexually transmitted diseases.
I will simply address the second part of your question. Condoms are an essential part of preventing sexually transmitted diseases (STDs). They also help to prevent unwanted pregnancy. Condoms are never 100% reliable, but they are the best possible way (aside from abstention) of eliminating these possibilities during sex.